Research on Futures Price Volatility Transmission Effect: Evidence from the CBOT and DCE Soybean Futures

DOI

10.2991/icmmct-18.2018.51How to use a DOI?

Keywords

Futures markets, Price Co-movement, Autoregressive Model

Abstract

Based on the principle of financial market prices of infection and linkage, the Markov state transition autoregressive model is used to make a comparative study on the Dalian Commodity Exchange and the Chicago Board of Trade soybean futures price linkage relationship. Research model can be well portrayed between the two futures market’s price discovery contributions, and verify the linkage relationship of the two market’s futures prices.

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  - Quan Gu
AU  - Xinghui Lei
PY  - 2018/06
DA  - 2018/06
TI  - Research on Futures Price Volatility Transmission Effect: Evidence from the CBOT and DCE Soybean Futures
BT  - Proceedings of the 2018 6th International Conference on Machinery, Materials and Computing Technology (ICMMCT 2018)
PB  - Atlantis Press
SP  - 253
EP  - 256
SN  - 2352-5401
UR  - https://doi.org/10.2991/icmmct-18.2018.51
DO  - 10.2991/icmmct-18.2018.51
ID  - Gu2018/06
ER  -