The information spillover between futures and spot market in China—An empirical analysis based on the sugar futures and spot prices

摘要

This paper examines the long-term equilibrium relationship between Zhengzhou Commodity Exchange's sugar futures index and the sugar spot index in China, based on vector autoregressive model, vector error correction model, Johansen cointegration test and variance decomposition method. The results show that there is a long-term equilibrium relationship between the price of sugar futures and spot market. And there are market price information spillover and the response from sugar futures market to spot market. It is found that lagged changes in the futures price can help to predict the changes in the spot price.