 Analysis of Volatility Spillover Effect of Soybean Price between Domestic and International MarketsXuegui Lin Asian Agricultural Research, 2018, vol. 10, issue 01 Abstract: Sharp fluctuation of soybean prices in international and domestic markets has caused big risks for both domestic soybean producers and processing enterprises in recent years. It also increases the difficulties in implementing price stabilization policy for the government. This paper analyzes the volatility spillovers in soybean prices between international and domestic markets using the multivariate VAR-BEKK-GARCH model based on the data set from the December 22, 2004 to December 19, 2014. The estimate results indicate that there are volatility spillover effects from domestic futures market to spot market and bilateral spillover between international futures market and domestic spot market. In order to prevent market manipulation and to reduce the impacts of price volatility in international soybean market on Chinese market, this paper proposes the following policy measures such as establishing early warning mechanism for soybean price fluctuations, improving soybean futures contract design and strengthening trading risk management mechanism, amplifying information disclosure system, and regularizing speculation activities of big traders. Keywords: Agribusiness (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ags:asagre:271655 Access Statistics for this article More articles in Asian Agricultural Research from USA-China Science and Culture Media Corporation |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.