声明
Contents
ABSTRACT
CHAPTER 1 GENERAL INTRODUCTION
1．1 Problem Statement and Research Objectives
1．2 Limitations of the study and future research directions
1．3 Organization of the study
CHAPTER 2 INTRODUCTION TO COTTON MARKETS
2．1．PAKISTAN
2．2 China
2．3 India
2．4 United States of America
2．5 World demand and supply situation
CHAPTER 3 REVIEW OF EMPIRICAL TECHNIQUES FOR MARKET INTEGRATION AND VOLATILOTY SPILLOVER
3．1 Empirical Techniques for Price Transmission and Market Integration Analysis
3．1．1 Static Price Transmission Models
3．1．2．Dynamic Price Transmission and Market Integration Models
3．1．3 Granger Causality
3．2 Empirical Techniques for Price Volatility Transmission Analysis
3．2．1 ARCH(q)model specification
3．2．2 GARCH
3．2．3 GARCH (p，q) model specification
CHAPTER 4 DATA
4．1 Data Collection
4．1．1．Domestic Cotton Markets
4．1．2． International Markets of China，India，USA and Pakistan
4．2．Sources of Data
CHAPTER 5 DATA ANALYSIS AND ESTIMATION METHODS
5．1．Theoretical Framework
5．2．Price Transmission Analysis
5．2．1．Test for Stationarity
5．2．2．Test for Cointegration
5．2．3．Vector Error Correction Model
5．2．4．Half Life Persistence Indicator
5．3．Volatility Spillover Analysis
5．3．Acreage Response Model
CHAPTER 6 RESULTS
6．1．1．Test of Stationarity(Test of Integration of Price Series)
6．1．2．Test of cointegration in Domestic Cotton markets of Pakistan
6．1．3 Vector Error Correction Model Results of Cotton Markets of Pakistan
6．2．Volatility Spillover Analysis of Domestic Cotton Markets of Pakistan
6．2．1．Test of Stationarity
6．2．2．Volatility spillover among domestic cotton markets of Pakistan
6．3．Cointegration Test Results for International Cotton Markets
6．3．1．Test of Integration
6．3．3．Testing law of one price and weak exogeneity among international cotton markets
6．4．Volatility Spillover for International Cotton Markets
6．5．Regional Acreage Response Model
6．5．1．Punjab
6．5．2．SINDH
CHAPTER 7：CONCLUSION AND POLICY RECOMMENDATIONS
APPENDICES
References
ACKNOWLEDGEMENT
南京农业大学;
