Research on the Change of Price Discovery Function in Live Pig Futures Market Based on Dynamic Perspective
The effective use of price discovery in the live pig futures market plays an important role in information transmission and risk avoidance in the industrial chain.In order to explore the dynamic change of live pig futures price discovery,based on China's live pig spot price data from January 2021 to May 2023,Granger causality test,time-varying impulse response and information share model are used to measure and analyze the relationship and impact of spot price discovery in different stages of live pig.The results show that the one-way price discovery effect of live pig futures is significant,and there is a long-term equilibrium relationship and difference between the spot of live pigs at different stages.The dynamic impact between the spot of live pigs is obvious and the direction of action is opposite.Pig futures dominate the contribution of price discovery.Therefore,it is suggested to dredge the price transmission mecha-nism of live pig spot market and give full play to the role of information transmission;pay attention to the impact of price changes on market sentiment,and pay attention to the"counter-cyclical"regulation of the live pig market by policies;further improve the rules and regulations of the live pig futures market,and promote standardized production and high-quality development of the live pig industry.
Live Pig FuturesPrice DiscoveryTime-Varying Impulse ResponseInformation Share Model
NETL
NSTL
万方数据
维普
