Is there co-movement between the China and US agricultural futures markets?
B. Zhanghttps://doi.org/10.17221/134/2014-AGRICECONCitation:Zhang B. (2015): Is there co-movement between the China and US agricultural futures markets? Agric. Econ. – Czech, 61: 205-213.
The paper examines the co-movements between the agricultural markets of China and the US. First, the empirical findings indicate that long-term equilibrium exists between the China and US soybean futures markets but not in the wheat futures markets. Second, there exists a significant spillover effect from the US to China in the wheat futures market, but the opposite effect is not strong; furthermore, for soybean futures, the spillover effect is bi-directional. Third, there is a unidirectional leading effect by the US agricultural futures markets on the Chinese market, particularly for agricultural products weakly controlled by the Chinese government.Keywords:spillover effect, soybean, wheatReferences:
Geoffrey Booth G., Ciner Cetin (1997): International transmission on information in corn futures markets. Journal of Multinational Financial Management, 7, 175-187 https://doi.org/10.1016/S1042-444X(97)00012-1Geoffrey Booth G., Brockman Paul, Tse Yiuman (1998): The relationship between US and Canadian wheat futures. Applied Financial Economics, 8, 73-80 https://doi.org/10.1080/096031098333276Engle Robert F., Kroner Kenneth F. (1995): Multivariate Simultaneous Generalized ARCH. Econometric Theory, 11, 122- https://doi.org/10.1017/S0266466600009063Faruqee R., Coleman J. R., Scott T. (1997): Managing Price Risk in the Pakistan Wheat Market. The World Bank Economic Review, 11, 263-292 https://doi.org/10.1093/wber/11.2.263Ledebur V.O., Schmitz J. (2009): Corn price behaviour – volatility transmission during the boom on futures markets. In: 113th EAAE Seminar “A resilient European food industry and food chain in a challenging world”, Chania, September 3–6, 2009.Naylor Rosamond L., Falcon Walter P. (2010): Food Security in an Era of Economic Volatility. Population and Development Review, 36, 693-723 https://doi.org/10.1111/j.1728-4457.2010.00354.xNieh C.C., Lee C.F. (1998): The role of new Taiwan Dollar: The cointegration test for the international finance. In: The Sixth Conference on Pacific Basin Business, Economics and Finance, Hong Kong, May 28–29, 1998.Nieh Chien-Chung, Lee Cheng-Few (2001): Dynamic relationship between stock prices and exchange rates for G-7 countries. The Quarterly Review of Economics and Finance, 41, 477-490 https://doi.org/10.1016/S1062-9769(01)00085-0Sekhar C.S.C. (2004): Agricultural price volatility in international and Indian markets. Economic and Political Weekly, 39: 4729–4736.Yang Jian, Bessler David, Leatham David J. (): Asset Storability and Price Discovery of Commodity Futures Markets: A New Look. SSRN Electronic Journal, , - https://doi.org/10.2139/ssrn.322682Yang J., Zhang J., Leatham D. (2003): Price and volatility transmission in international wheat futures markets. Annals of Economics and Finance, 4: 37–50.Wang Yu‐Shan, Lin Chung‐Gee, Shih Shih‐Chieh (2011): The dynamic relationship between agricultural futures and agriculture index in China. China Agricultural Economic Review, 3, 369-382 https://doi.org/10.1108/17561371111165798