Cross-correlations between agricultural commodity futures markets in the US and China

Zhihui Li and Xinsheng Lu

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 15, 3930-3941

Abstract: This paper examines the cross-correlation properties of agricultural futures markets between the US and China using a cross-correlation statistic test and multifractal detrended cross-correlation analysis (MF-DCCA). The results show that the cross-correlations between the two geographically distant markets for four pairs of important agricultural commodities futures are significantly multifractal. By introducing the concept of a “crossover”, we find that the multifractality of cross-correlations between the two markets is not long lasting. The cross-correlations in the short term are more strongly multifractal, but they are weakly so in the long term. Moreover, cross-correlations of small fluctuations are persistent and those of large fluctuations are anti-persistent in the short term while cross-correlations of all kinds of fluctuations for soy bean and soy meal futures are persistent and for corn and wheat futures are anti-persistent in the long term. We also find that cross-correlation exponents are less than the averaged generalized Hurst exponent when q<0 and more than the averaged generalized Hurst exponent when q>0 in the short term, while in the long term they are almost the same.

Keywords: Cross-correlation; Agricultural commodity futures; MF-DCCA; Crossover (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:15:p:3930-3941

DOI: 10.1016/j.physa.2012.02.029

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