Research Article
An Empirical Study of the Introduction of Hog Futures on Stabilizing Hog Prices
@INPROCEEDINGS{10.4108/eai.17-6-2022.2322647, author={Yiran Peng and Pufeng Sun}, title={An Empirical Study of the Introduction of Hog Futures on Stabilizing Hog Prices}, proceedings={Proceedings of the International Conference on Information Economy, Data Modeling and Cloud Computing, ICIDC 2022, 17-19 June 2022, Qingdao, China}, publisher={EAI}, proceedings_a={ICIDC}, year={2022}, month={10}, keywords={hog futures spot market price volatility coefficient of variation garch model}, doi={10.4108/eai.17-6-2022.2322647} }- Yiran Peng
Pufeng Sun
Year: 2022
An Empirical Study of the Introduction of Hog Futures on Stabilizing Hog Prices
ICIDC
EAI
DOI: 10.4108/eai.17-6-2022.2322647
Abstract
Hog prices in China are highly volatile and cyclical, in 2021 hog price has dropped down to below 10 yuan per pound, which has a huge impact on hog farmers and consumers. This study investigates the stabilizing effect of the newly listed hog futures on spot market in China. A static historical volatility model and GARCH model are adopted in this study. The data in this paper is from Wind and Security Research Centers. The results from static historical volatility model and time series techniques show the listing of hog futures leads to increased volatility of hog spot price in a short term.
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