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Study on spillover effect between international soybean market and China's domestic soybean market

Author

Listed:
  • Kun Ma
  • Gang Diao

Abstract

Due to high import dependency, China's domestic soybean market became unstable and soybean production was lingering and declining. It would be better to know the correlation between international and China's domestic soybean market for policy-making and production decision. This study used data of CBOT soybean futures price, imported soybean distribution price at Qingdao port and soybean spot price in China from September 10, 2011 to November 19, 2016 and chose multivariate GARCH model to check the spillover effect and correlation between them. The results showed that price volatilities of three markets had significant clustering effect while GARCH effect was stronger than ARCH effect. The spillover effect and correlations between markets were remarkable. It demonstrated the imported soybean market was significantly affected by the international soybean future market volatility, and such instability then resulted in violent fluctuations of China's domestic soybean spot market. Policies should be made to keep China's soybean industry safe and developed.

Suggested Citation

  • Kun Ma & Gang Diao, 2017. "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 35(84), pages 260-266, December.
    • Handle: RePEc:col:000107:016035
    DOI: 10.1016/j.espe.2017.11.003
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    References listed on IDEAS

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    Cited by:

    1. Hasan Murat Ertuğrul & Ünal Seven, 2023. "Dynamic spillover analysis of international and Turkish food prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1918-1928, April.

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    More about this item

    Keywords

    Soybean price volatility; Multivariate GARCH model; Clustering effect; Spillover effect;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F16 - International Economics - - Trade - - - Trade and Labor Market Interactions
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness

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