Analysis of Co-Integration and Volatility Spillover Effects between Chinese and International Agricultural Products Futures Markets

Author

Liu Wei

Author_Institution

Sch. of Inf. & Manage., Jiangxi Univ. of Finance & Econ., Nanchang, China

fYear

2009

fDate

20-22 Sept. 2009

Firstpage

1

Lastpage

4

Abstract

Daily futures data of hard wheat, cotton, soybean and corn from commodity exchanges of America Chicago Board of Trade (CBOT), Zhengzhou Commodity Exchange (CZCE) and Dalian Commodity Exchange (DCE) are analyzed in this paper. First, the co-integration test and Granger causality test are used to study the integration relationship between Chicago and Chinese futures markets. Then, multivariate GARCH (MGARCH) model is used to analyze the risk spillover effect of price volatility between them. At last, the results of the analysis are given.

Keywords

agriculture; stock markets; America Chicago Board of Trade; Chinese agricultural products futures market; Dalian Commodity Exchange; Granger causality test; Zhengzhou Commodity Exchange; cointegration analysis; international agricultural products futures market; multivariate GARCH model; volatility spillover effects; Agricultural products; Cotton; Finance; Financial management; Information analysis; Information management; Mathematical model; Petroleum; Stock markets; Testing;

fLanguage

English

Publisher

ieee

Conference_Titel

Management and Service Science, 2009. MASS '09. International Conference on

Conference_Location

Wuhan

Print_ISBN

978-1-4244-4638-4

Electronic_ISBN

978-1-4244-4639-1

Type

conf

DOI

10.1109/ICMSS.2009.5301807

Filename

5301807