Cross-correlations between agricultural commodity futures markets in the US and China

This paper examines the cross-correlation properties of agricultural futures markets between the US and China using a cross-correlation statistic test and multifractal detrended cross-correlation analysis (MF-DCCA). The results show that the cross-correlations between the two geographically distant markets for four pairs of important agricultural commodities futures are significantly multifractal. By introducing the concept of a “crossover”, we find that the multifractality of cross-correlations between the two markets is not long lasting. The cross-correlations in the short term are more strongly multifractal, but they are weakly so in the long term. Moreover, cross-correlations of small fluctuations are persistent and those of large fluctuations are anti-persistent in the short term while cross-correlations of all kinds of fluctuations for soy bean and soy meal futures are persistent and for corn and wheat futures are anti-persistent in the long term. We also find that cross-correlation exponents are less than the averaged generalized Hurst exponent when q<0 and more than the averaged generalized Hurst exponent when q>0 in the short term, while in the long term they are almost the same.