China’s soybean crush spread: Nonlinear analysis based on MF-DCCA

Qingsong Ruan, Hao Cui and Liming Fan

Physica A: Statistical Mechanics and its Applications, 2020, vol. 554, issue C

Abstract: In this paper, we investigate cross-correlations among the soybean, soymeal, and soyoil futures return series at China’s Dalian Commodity Exchange using both multifractal detrended fluctuation analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DCCA) methods. We find that there exists multifractality in the soybean, soymeal and soyoil futures return series using MF-DFA method. Moreover, results of MF-DCCA demonstrate that there exists a power-law cross-correlation and significant multifractal features among soybean, soymeal and soyoil futures returns. Furthermore, by comparing the multifractality of the original series to the shuffled and surrogated series, we find that both the long-range correlations and fat-tailed distribution contribute to the multifractality in cross-correlation among soybean, soymeal and soyoil futures return series in Dalian Commodity Exchanges. Furthermore, we use nonlinear Granger causality test and show that anyone of the three products returns is the Granger cause of the other two products returns.

Keywords: Soybean crush spread; Cross-correlation; MF-DCCA; Nonlinear Granger Causality​ test (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:554:y:2020:i:c:s0378437119321648

DOI: 10.1016/j.physa.2019.123899

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