Proceedings of the International Conference on Information Economy, Data Modeling and Cloud Computing, ICIDC 2022, 17-19 June 2022, Qingdao, China

Research Article

An Empirical Study of the Introduction of Hog Futures on Stabilizing Hog Prices

Download228 downloads
Cite
BibTeX Plain Text
  • @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
Yiran Peng1,*, Pufeng Sun2
  • 1: Shanghai International Studies University
  • 2: Ocean University of China
*Contact email: pengyiran2@163.com

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.

Keywords
hog futures spot market price volatility coefficient of variation garch model
Published
2022-10-13
Publisher
EAI
http://dx.doi.org/10.4108/eai.17-6-2022.2322647
Copyright © 2022–2024 EAI