Price Transmission in Cotton Futures Market: Evidence from Three Countries
نویسندگان
چکیده
This study examines the price transmission between cotton prices in U.S., Indian, and Chinese futures markets. We focus on studying long-run movements using cointegration alternate causality tests. The empirical results indicate following: (a) U.S. market continues to be most dominant market, it leads changes India China; (b) also impacts China as we report a unidirectional relationship flowing from (c) there is duality of direction for commodity markets document bi-directional entire period uni-directional two sub-periods; (d) long-term three has seen significant shift documented by absence which may due government policy, especially specifically after 2014. Overall, provide support further reforms Indian exchanges so that they can play vital role discovery process commodities are largely produced or consumed these economies.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2021
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm14090444