Price Fluctuation and Linkage of Soybean Futures Markets in China and the United States

doi:10.11924/j.issn.1000-6850.casb17070144

Chinese Agricultural Science Bulletin ›› 2017, Vol. 33 ›› Issue (33): 159-164.doi: 10.11924/j.issn.1000-6850.casb17070144

Special Issue: 油料作物

Received:2017-07-29 Revised:2017-09-11 Accepted:2017-09-12 Online:2017-11-27 Published:2017-11-27

Abstract

Abstract: This paper aims to analyze the fluctuation characteristics of soybean futures prices in China and the United States, and the price spillover effect and linkage of soybean futures market of the two countries. The EGARCH model, BEKK-GARCH model and DCC-GARCH model are used for systematical analysis. The main conclusions are as follows: US soybean futures price has a one-way volatility spillover effect on soybean futures prices in China; China''s soybean futures prices were affected more by the US soybean futures prices in comparing with the US soybean futures prices affected by China''s soybean futures prices. So this linkage can be attributed to China''s soybean futures prices’change depending on the US soybean futures prices.

CLC Number:

F062.9

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