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Multiscale correlation analysis of Sino-US corn futures markets and the impact of international crude oil price: A new perspective from the multifractal method

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  • Feng, Yun
  • Yang, Jie
  • Huang, Qian

Abstract

Based on the multifractal method, this paper studies the dynamic characteristics of the cross-correlation between Sino-US corn futures markets after 2020 in the context of a series of exogenous shocks, and the impact of international crude oil prices on this relationship. We find that the cross-correlation significantly strengthened after 2020 at multi-time scales, but its uncertainty and complexity reduced. Besides, shocks of the crude oil market increase the cross-correlation at multi-time scales, which notably weakened after 2020. This suggests the Chinese government's interventions and regulations on the domestic grain market were effective.

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  • Feng, Yun & Yang, Jie & Huang, Qian, 2023. "Multiscale correlation analysis of Sino-US corn futures markets and the impact of international crude oil price: A new perspective from the multifractal method," Finance Research Letters, Elsevier, vol. 53(C).
    • Handle: RePEc:eee:finlet:v:53:y:2023:i:c:s154461232300065x
    DOI: 10.1016/j.frl.2023.103691
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    2. Wang, Xiangning & Huang, Qian & Zhang, Shuguang, 2023. "Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).

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    More about this item

    Keywords

    COVID-19; Russia–Ukraine war; Corn futures market; International crude oil; Multifractal analysis;
    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
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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