Is there co-movement between the China and US agricultural futures markets?

Bing Zhang
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Bing Zhang: Department of Finance and Insurance, Business School, Nanjing University, China

Agricultural Economics, 2015, vol. 61, issue 5, 205-213

Abstract: 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; wheat (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:caa:jnlage:v:61:y:2015:i:5:id:134-2014-agricecon

DOI: 10.17221/134/2014-AGRICECON

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