Prediction Model based on Error Correction and Empirical Research of Hard Wheat Futures between China and USA

摘要：

This paper determines the guiding relationship of same futures at different futures markets by using unit root test, cointegration test and Granger causality test and the futures price prediction model based on error correction is established. The empirical research is conducted with the hard wheat futures price data from Zhengzhou Commodity Exchange and CBOT. Its Conclusions are as follows: Firstly, the hard wheat price of CBOT has the obvious guiding effects on the secondary hard wheat price of Zhengzhou Commodity Exchange and its guiding probability is 94.4%. Secondly, the hard wheat futures price of Zhengzhou Commodity Exchange is predicted by that of CBOT based on error correction and its prediction accuracy accounts for 95.8%.

作者: Sui Cong Bai Jing-lai Li Heng

作者单位: Dongbei University of Finance and Economics, Dalian, China Shenyang Institute of Engineering, Shenyang, China

会议类型: 国际会议

会议名称: 2011 Academy for Global Business Advancement(AGBAs)8th World Congress(全球商务发展学会第八届国际会议)

会议地点: 大连

会议语种:英文

页码: 340-346

在线出版日期: 2011-09-15（万方平台首次上网日期，不代表论文的发表时间）