Research on Futures Price Volatility Transmission Effect: Evidence from the CBOT and DCE Soybean Futures

Gu, Quan; Lei, Xinghui

doi:10.2991/icmmct-18.2018.51

Cited by 1 publication

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“…In China, No.2 soybeans are used in soybean crushing. However, most existing studies have focused on analyzing the trading strategies and volatility correlation between No.1 soybean, soyoil, and soymeal futures (Gu & Lei, 2018; Liu & Sono, 2016; Yang & Karali, 2022). Differently, Ruan et al (2020) pointed out the importance of No.2 soybean futures in Chinese soybean crushing.…”

Section: Literature Reviewmentioning

confidence: 99%

Cross‐border and cross‐commodity volatility spillover effects of Chinese soybean futures

Qin,

Lau

2023

Journal of Futures Markets

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This study examines the volatility spillover between the US and China's soybean futures markets, and between China's soybean, soybean oil, and meal futures markets. A synchronization technique is used to overcome the bias from differences in the closing time of two exchanges. On the basis of BEKK‐GARCH and DCC‐GARCH on the data from January 2010 to April 2023, our results indicate that: First, there is a one‐way spillover from the US to China's No.1 soybean futures and a two‐way spillover between the US and No.2 soybean futures. Second, after 2018, the volatility spillovers of No.1 soybean futures declined, while that of No.2 increased significantly. Third, the dynamic conditional correlations confirmed our results that the spillover between No.2 soybean and soymeal, and between No.2 soybean and soyoil futures increased significantly. Our findings demonstrate the leading role of US soybeans in cross‐border trading and the increasing role of No.2 soybeans in cross‐country and cross‐commodity spillover.

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