Co-movements Between Chinese and CBOT Grain Futures Markets: Some New Evidence Based on DCC-GARCH Model

DOI

10.2991/febm-18.2018.44How to use a DOI?

Keywords

Grain futures market; Price linkage; DCC-GARCH

Abstract

Based on the bivariate DCC-GARCH model, this paper discusses the dynamic relationship between domestic and international grain futures market prices. The results show that domestic and foreign grain futures markets have a long-term integration trend and the dynamic correlation coefficient of soybean and wheat futures markets has significant time-varying characteristics, showing the phenomenon of wave aggregation; the grain futures market at home and abroad has strong linkage, among which soybean is the strongest, maize is the second, and wheat is the weakest.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Meng Ou
AU  - Jie Li
PY  - 2018/12
DA  - 2018/12
TI  - Co-movements Between Chinese and CBOT Grain Futures Markets: Some New Evidence Based on DCC-GARCH Model
BT  - Proceedings of the Third International Conference on Economic and Business Management (FEBM 2018)
PB  - Atlantis Press
SP  - 187
EP  - 190
SN  - 2352-5428
UR  - https://doi.org/10.2991/febm-18.2018.44
DO  - 10.2991/febm-18.2018.44
ID  - Ou2018/12
ER  -