Academic Journal of Business & Management, 2024, 6(9); doi: 10.25236/AJBM.2024.060914.
Aihua Wang1, Qian Zhang1, Zhaoxuan Mao2, Hongyan Zhuang3
1College of Business and Economics, Shanghai Business School, Shanghai, China
2Shenzhen Diankuan Network Technology Co., Ltd., Shenzhen, China
3Hanshan Normal University, Chaozhou, China
This study employs the Vector Autoregression (VAR) model to explore the dynamic relationship between Polyvinyl Chloride (PVC) futures and spot prices, aiming to reveal the characteristics of price volatility and the mechanism of information transmission between the futures and spot markets. The findings demonstrate a long-term equilibrium relationship between PVC futures and spot prices, with a bidirectional guiding influence. Notably, PVC futures prices exhibit a significant leading effect on the spot market, while the response of spot prices to futures market fluctuations is relatively slower. Finally, combining these findings, the study offers decision support recommendations for market participants, underscoring the importance of accurately understanding the interplay between futures and spot markets in effective market monitoring and risk control.
Futures Prices, Price Discovery, Price Correlation, Spot Prices
Aihua Wang, Qian Zhang, Zhaoxuan Mao, Hongyan Zhuang. Study on the Dynamic Relationship between PVC Futures and Spot Prices Based on Vector Autoregression Model. Academic Journal of Business & Management (2024) Vol. 6, Issue 9: 97-104. https://doi.org/10.25236/AJBM.2024.060914.
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