Co-movements Between Chinese and CBOT Grain Futures Markets: Some New Evidence Based on DCC-GARCH Model
Meng Ou, Jie Li
Available Online December 2018.
- 10.2991/febm-18.2018.44How to use a DOI?
- Grain futures market; Price linkage; DCC-GARCH
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.
- © 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/).
Cite this article
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 -