Price Spillover Effects in U.S.-China Cotton and Cotton Yarn Futures Markets Under Emergency Events
Year: 2025
Type: article
Abstract: As a strategic material second only to grain, cotton serves both as a vital agricultural commodity and a key industrial crop. With the increasing frequency of global shocks and the deepening financialization of commodity markets, price linkages among major international cotton futures markets have strengthened. Consequently, in addition to fundamental supply and demand factors, cross-border price transmission has become a significant determinant of cotton pricing. This study employs daily closing prices of China’s cotton futures, cotton yarn futures, and U.S. cotton futures from 1 September 2017 to 31 March 2025 to examine the spillover effects among these three futures markets using time series models. The results reveal that U.S. cotton futures have dominated the Chinese cotton-related futures markets even prior to the onset of trade tensions, with strong domestic market comovements. However, both the U.S.-China trade war and the COVID-19 pandemic significantly weakened price co-movements while intensifying volatility spillovers. Although these external shocks enhanced the relative independence of China’s cotton yarn futures and modestly increased China’s pricing influence, U.S. cotton futures have consistently maintained their central role in price discovery.
Source: Agriculture
Authors: Cheng Gui, Chunjie Qi, Yani Dong, Yueyuan Yang
Institution: Huazhong Agricultural University
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
SDG: Zero hunger
Open Access status: gold
Estimated APC paid: $3,137
OpenAlex ID: W4413416994