Proceedings of the Third International Conference on Economic and Business Management (FEBM 2018)

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

Authors
Meng Ou, Jie Li
Corresponding Author
Jie Li
Available Online December 2018.
DOI
https://doi.org/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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Volume Title
Proceedings of the Third International Conference on Economic and Business Management (FEBM 2018)
Series
Advances in Economics, Business and Management Research
Publication Date
December 2018
ISBN
978-94-6252-623-5
ISSN
2352-5428
DOI
https://doi.org/10.2991/febm-18.2018.44How to use a DOI?
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/).

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  - https://doi.org/10.2991/febm-18.2018.44
ID  - Ou2018/12
ER  -