Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures
Neda Todorova and
Eduardo Roca ()
Journal of Futures Markets, 2016, vol. 36, issue 12, 1231-1255
This paper examines the daily, overnight, intraday, and rolling return spillovers of four key agricultural commodities—soybeans, wheat, corn, and sugar, between the U.S. and Chinese futures markets via a newly developed quantile dependence measure called quantilogram. The results reveal significant bi‐directional dependence between the two markets across commodities which is greater in extreme quantiles and moderately stronger from the United States to China. These findings offer valuable insights into investors’ behavior, market integration, dissimilarity, and market efficiency in both countries. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1231–1255, 2016
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