Agric. Econ. - Czech, 2015, 61(5):205-213 | DOI: 10.17221/134/2014-AGRICECON

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

Bing Zhang
Department of Finance and Insurance, Business School, Nanjing University, China

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.

Keywords: spillover effect, soybean, wheat

Published: May 31, 2015  Show citation

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Zhang B. Is there co-movement between the China and US agricultural futures markets? Agric. Econ. - Czech. 2015;61(5):205-213. doi: 10.17221/134/2014-AGRICECON.
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