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What Leads to the Changes of Volatility Spillover Effect Between Chinese and American Soybean Futures Markets?

Author

Listed:
  • Yubin Wang
  • Xiaoyang Wang
  • Jianhe Liu
  • Mingyuan Xu
  • Yuanfang Zang

Abstract

This paper examines the volatility spillover between the soybean futures contracts traded in the US Chicago Board of Trade (CBOT) and China Dalian Commodity Exchange (DCE) through a normalized Copula – GARCH(1,1) - t model with structural changes. The structural change points are identified through a combination of Bayesian diagnosis with Z-test. The study finds that the volatility spillover exists between the DCE and CBOT soybean futures and weakens through time. We further identify seven structural change points in the volatility spillover relationship, suggesting it is going through significant structural changes. The changes are related to major social-political events including the trade conflict between China and the US, the COVID-19 pandemic and the Russia-Ukraine war.

Suggested Citation

  • Yubin Wang & Xiaoyang Wang & Jianhe Liu & Mingyuan Xu & Yuanfang Zang, 2023. "What Leads to the Changes of Volatility Spillover Effect Between Chinese and American Soybean Futures Markets?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 59(8), pages 2533-2547, June.
    • Handle: RePEc:mes:emfitr:v:59:y:2023:i:8:p:2533-2547
    DOI: 10.1080/1540496X.2023.2186172
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