文献类型：期刊文献

英文题名：Correlation between agricultural markets in dynamic perspective-Evidence from China and the US futures markets

作者：Jia, Rui-Lin[1];Wang, Dong-Hua[1,2];Tu, Jing-Qing[1];Li, Sai-Ping[3]

机构：[1]East China Univ Sci & Technol, Sch Business, 130 Meilong Rd,POB 114, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]Acad Sinica, Inst Phys, Taipei 115, Taiwan

年份：2016

卷号：464

起止页码：83

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20163402725603);WOS:【SSCI(收录号:WOS:000384382600007)，SCI-EXPANDED(收录号:WOS:000384382600007)】；

基金：We are grateful to Wei-Xing Zhou for helpful discussions. We would also like to thank the anonymous reviewers for their constructive suggestions and the editor for the help during the review process. This work is supported by the National Science Foundation of China (Grant No. 71171083), Innovation Program of Shanghai Municipal Education Commission (Grant No. 14ZS058) and Shanghai Pujiang Program (Grant No. 15PJC021).

语种：英文

外文关键词：Agricultural futures; Lead-lag relationship; Thermal optimal path method

摘要：Emerging as the earliest futures markets, agricultural futures markets play an important role in risk aversion and price discovery. With the integration of global economy, the linkage between domestic and international futures markets becomes closer than ever. By using the thermal optimal path (TOP) method, this paper selects soybean, corn and wheat as the representatives to study the dynamic lead-lag relationship between the Chinese and American markets in both returns and volatility. The results indicate that: (1) For the futures return, different kinds of agricultural futures lead-lag relationship between China and the US varied before 2014 both in direction and order in different time periods. However, China leads the US for all the three kinds we study after 2014. (2) Agricultural commodities subject to less import restrictions and government regulations in China such as soybean are more susceptible to the fluctuations from the international markets. On the other hand, lower foreign trade openness and more government regulation species such as wheat are less affected by fluctuations from outside. (3) The volatility transmission from the US to China wheat futures market takes longer time than soybean, which suggests that China's soybean futures market is more closely linked to the international agricultural futures market than wheat. (C) 2016 Elsevier B.V. All rights reserved.