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Is there co-movement between the China and US agricultural futures markets?

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  • Bing Zhang

    (Department of Finance and Insurance, Business School, Nanjing University, China)

Abstract

The paper examines the co-movements between the agricultural markets of China and the US. First, the empirical findings indicate that long-term equilibrium exists between the China and US soybean futures markets but not in the wheat futures markets. Second, there exists a significant spillover effect from the US to China in the wheat futures market, but the opposite effect is not strong; furthermore, for soybean futures, the spillover effect is bi-directional. Third, there is a unidirectional leading effect by the US agricultural futures markets on the Chinese market, particularly for agricultural products weakly controlled by the Chinese government.

Suggested Citation

  • Bing Zhang, 2015. "Is there co-movement between the China and US agricultural futures markets?," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 61(5), pages 205-213.
    • Handle: RePEc:caa:jnlage:v:61:y:2015:i:5:id:134-2014-agricecon
    DOI: 10.17221/134/2014-AGRICECON
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    References listed on IDEAS

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    1. Nieh, Chien-Chung & Lee, Cheng-Few, 2001. "Dynamic relationship between stock prices and exchange rates for G-7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(4), pages 477-490.
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    3. Yu‐Shan Wang & Chung‐Gee Lin & Shih‐Chieh Shih, 2011. "The dynamic relationship between agricultural futures and agriculture index in China," China Agricultural Economic Review, Emerald Group Publishing Limited, vol. 3(3), pages 369-382, September.
    4. Rosamond L. Naylor & Walter P. Falcon, 2010. "Food Security in an Era of Economic Volatility," Population and Development Review, The Population Council, Inc., vol. 36(4), pages 693-723, December.
    5. Geoffrey Booth, G. & Ciner, Cetin, 1997. "International transmission on information in corn futures markets," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 175-187, October.
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    Keywords

    spillover effect; soybean; wheat;
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