Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)

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An Empirical Analysis of the Correlation between Spot Price and Futures Price of Silver

Authors
Yining Ye1, *
1School of Economics, Ocean University of China, Qingdao, 266100, China
*Corresponding author. Email: yexiahu@nbu.edu.cn
Corresponding Author
Yining Ye
Available Online 31 December 2022.
DOI
10.2991/978-94-6463-036-7_171How to use a DOI?
Keywords
Silver future; Silver spot; VECM; Granger
Abstract

As silver futures appear and are widely traded, it has brought both opportunities and challenges to the market. Many scholars hold the belief that the spot market affects the futures market, and the futures market reacts to the spot market as well. The relationship between them is complex. Taking the silver futures price and spot price from 2015 to 2021 as the research object, this paper explores the relationship between them through the cointegration test, vector error correction model, Granger causality, impulse response model, and other methods. It comes to the conclusion that the spot and futures markets are in long-term equilibrium, and the two markets can modify each other dynamically. What’s more, the future price has Granger one-way guiding effect on the spot price, and the Future price can respond to the impact of spot prices faster and absorb the impact of price changes. Taking gold as an example, this paper further explores the effect of other futures on the spot price of silver. Finally, the paper put forward some constructive suggestions.

Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
31 December 2022
ISBN
978-94-6463-036-7
ISSN
2352-5428
DOI
10.2991/978-94-6463-036-7_171How to use a DOI?
Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Yining Ye
PY  - 2022
DA  - 2022/12/31
TI  - An Empirical Analysis of the Correlation between Spot Price and Futures Price of Silver
BT  - Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
PB  - Atlantis Press
SP  - 1157
EP  - 1165
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-036-7_171
DO  - 10.2991/978-94-6463-036-7_171
ID  - Ye2022
ER  -