Dynamic Linkages and Temporal Relationships Between Spot and Future Index Prices: Empirical Evidence from India Using Non-linear GARCH–BEKK

Islam, Khalid Ul; Lone, Umer Mushtaq; Gulam, Younis Ahmed; Bhat, Suhail Ahmad

doi:10.1007/s10690-024-09464-9

Asia-Pac Financ Markets

2024

DOI: 10.1007/s10690-024-09464-9

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Dynamic Linkages and Temporal Relationships Between Spot and Future Index Prices: Empirical Evidence from India Using Non-linear GARCH–BEKK

Khalid Ul Islam,

Umer Mushtaq Lone,

Younis Ahmed Gulam

et al.

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The Impact of Pig Futures on the Price Transmission in the Pig Industry Chain during Market Shocks

Wang,

Huangfu

2024

Agriculture

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In recent years, frequent external emergencies have continuously impacted China’s pig industry chain. As the scale and standardization of pig farming in China have increasingly improved, pig futures have met the conditions for good operation and were listed for trading on the Dalian Commodity Exchange on 8 January 2021. To study the impact and influence of African swine fever, COVID-19, and the listing of pig futures on the price transmission mechanism at various stages of China’s pig industry, weekly price data from the pig industry from January 2015 to June 2023 were selected to construct an SV-TVP-VAR model for analysis. The empirical results showed that the shocks of African swine fever and COVID-19 caused price fluctuations at various stages of the pig industry chain, while price fluctuations significantly decreased after the listing of pig futures. Therefore, the introduction of pig futures effectively alleviated the price fluctuations at various stages of the pig industry chain following the shocks of African swine fever and COVID-19, and relevant policy recommendations are proposed accordingly.

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The Impact of Pig Futures on the Price Transmission in the Pig Industry Chain during Market Shocks

Wang,

Huangfu

2024

Agriculture

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Dynamic Linkages and Temporal Relationships Between Spot and Future Index Prices: Empirical Evidence from India Using Non-linear GARCH–BEKK

Cited by 1 publication

References 60 publications

The Impact of Pig Futures on the Price Transmission in the Pig Industry Chain during Market Shocks

The Impact of Pig Futures on the Price Transmission in the Pig Industry Chain during Market Shocks

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