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

  • Li, Zhihui
  • Lu, Xinsheng
Registered author(s):

    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437112001768
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    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 391 (2012)
    Issue (Month): 15 ()
    Pages: 3930-3941

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    Handle: RePEc:eee:phsmap:v:391:y:2012:i:15:p:3930-3941
    Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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