Information Flows Between the US and China’s Agricultural Commodity Futures Markets—Based on VAR–BEKK–Skew-t Model

Qian Chen and Xin Weng

Emerging Markets Finance and Trade, 2018, vol. 54, issue 1, 71-87

Abstract: The information flow in the volatility and the skewness of returns are two factors closely influences the hedging risks for cross-border transactions. This article adopts a VAR–BEKK–MGARCH model with multivariate skew-t error terms to investigate the mean and volatility spillovers, while accounting for the potential skewness. The model is applied to real returns of corn, wheat, and soybeans futures in United States and China. The empirical results indicate the major role of United States in information transmission, and the increasing volatility spillovers of China to United States in highly marketized commodities and after trading structure changes. The analysis of skewness provides evidences for market inefficiency and implication on the investment decision and trading strategies.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2016.1230492 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:54:y:2018:i:1:p:71-87

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2016.1230492

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().