 Dynamic dependence of futures basis between the Chinese and international grains marketsHao Wang, Yizhe Dong, Mingli Sun, Baofeng Shi and Hao Ji Economic Modelling, 2024, vol. 130, issue C Abstract: Basis trading has emerged as a prominent trading strategy in the global grains markets. Understanding basis trading dynamics in this context requires an investigation of the interrelationships among futures basis values across different markets. Using data of corn and wheat over the period 2012–2022, we investigate the high-dimensional linkages of basis at various frequencies between the Chinese and international grains markets. We find a strong positive dynamic correlation between the basis of grains in international markets. However, the basis of Chinese corn (and wheat) exhibits weaker positive correlations with their international counterparts. Our further exploration uncovers temporal variations in the multi-dimensional interdependence structures among these basis values, with the international corn consistently occupying a pivotal central position. Given China's preeminent status as a grain importer, the implications of our study extend to the realm of adept risk management in the context of global grain trading amid an uncertain world. Keywords: Grain market; Futures basis; Dynamic linkage; Multidimensional dependence; DCC-GARCH model; Wavelet-vine copula (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:eee:ecmode:v:130:y:2024:i:c:s0264999323003966 DOI: 10.1016/j.econmod.2023.106584 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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