Price discovery in Chinese PVC futures and spot markets: Impacts of COVID-19 and benchmark analysis
Despite being a minor futures category, Polyvinyl chloride (PVC) futures have emerging as a vital element in energy and chemical futures domain. Employing three benchmark models component share (CS), information share (IS), and information leadership share (ILS), this study explores the price discov...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2024-01-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844024001695 |
| _version_ | 1797328743262322688 |
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| author | Yunyan Wu Jiaqi He Linfei Xiong |
| author_facet | Yunyan Wu Jiaqi He Linfei Xiong |
| author_sort | Yunyan Wu |
| collection | DOAJ |
| description | Despite being a minor futures category, Polyvinyl chloride (PVC) futures have emerging as a vital element in energy and chemical futures domain. Employing three benchmark models component share (CS), information share (IS), and information leadership share (ILS), this study explores the price discovery function of Chinese PVC futures and spot markets. It assesses whether PVC futures have matured into an effective hedging tool and reference point for spot markets, and also examines the impact of the COVID-19 pandemic on this price discovery relationship. Empirical analysis reveals that the futures market has become the primary site for price discovery in the Chinese PVC market. All the models consistently demonstrate a mature price discovery function in PVC futures, providing risk mitigation tools for industry players. However, post-pandemic dynamics indicate that price discovery in PVC markets primarily occurs within the spot market. This suggests that compared to the futures market, the PVC spot market is able to respond more quickly to the strong signals of industrial recovery after the end of the pandemic. The feedback and pricing efficiency of the PVC futures market in response to new market information are also influenced. Furthermore, our study offers better anticipation of future market prices. |
| first_indexed | 2024-03-08T06:56:05Z |
| format | Article |
| id | doaj.art-8bd8d48c80004c8fbffbf292a5181369 |
| institution | Directory Open Access Journal |
| issn | 2405-8440 |
| language | English |
| last_indexed | 2024-03-08T06:56:05Z |
| publishDate | 2024-01-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Heliyon |
| spelling | doaj.art-8bd8d48c80004c8fbffbf292a51813692024-02-03T06:36:19ZengElsevierHeliyon2405-84402024-01-01102e24138Price discovery in Chinese PVC futures and spot markets: Impacts of COVID-19 and benchmark analysisYunyan Wu0Jiaqi He1Linfei Xiong2School of Business, Jianghan University, Shatin, Wuhan, PR ChinaDepartment of Financial Statistics, Zhongnan University of Economics and Law, Wuhan, PR ChinaDepartment of Financial Statistics, Zhongnan University of Economics and Law, Wuhan, PR China; Corresponding author.Despite being a minor futures category, Polyvinyl chloride (PVC) futures have emerging as a vital element in energy and chemical futures domain. Employing three benchmark models component share (CS), information share (IS), and information leadership share (ILS), this study explores the price discovery function of Chinese PVC futures and spot markets. It assesses whether PVC futures have matured into an effective hedging tool and reference point for spot markets, and also examines the impact of the COVID-19 pandemic on this price discovery relationship. Empirical analysis reveals that the futures market has become the primary site for price discovery in the Chinese PVC market. All the models consistently demonstrate a mature price discovery function in PVC futures, providing risk mitigation tools for industry players. However, post-pandemic dynamics indicate that price discovery in PVC markets primarily occurs within the spot market. This suggests that compared to the futures market, the PVC spot market is able to respond more quickly to the strong signals of industrial recovery after the end of the pandemic. The feedback and pricing efficiency of the PVC futures market in response to new market information are also influenced. Furthermore, our study offers better anticipation of future market prices.http://www.sciencedirect.com/science/article/pii/S2405844024001695Price discoveryPVC futures marketPVC spot marketComponent shareInformation shareInformation leadership share |
| spellingShingle | Yunyan Wu Jiaqi He Linfei Xiong Price discovery in Chinese PVC futures and spot markets: Impacts of COVID-19 and benchmark analysis Heliyon Price discovery PVC futures market PVC spot market Component share Information share Information leadership share |
| title | Price discovery in Chinese PVC futures and spot markets: Impacts of COVID-19 and benchmark analysis |
| title_full | Price discovery in Chinese PVC futures and spot markets: Impacts of COVID-19 and benchmark analysis |
| title_fullStr | Price discovery in Chinese PVC futures and spot markets: Impacts of COVID-19 and benchmark analysis |
| title_full_unstemmed | Price discovery in Chinese PVC futures and spot markets: Impacts of COVID-19 and benchmark analysis |
| title_short | Price discovery in Chinese PVC futures and spot markets: Impacts of COVID-19 and benchmark analysis |
| title_sort | price discovery in chinese pvc futures and spot markets impacts of covid 19 and benchmark analysis |
| topic | Price discovery PVC futures market PVC spot market Component share Information share Information leadership share |
| url | http://www.sciencedirect.com/science/article/pii/S2405844024001695 |
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