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

Meng Ou, Jie Li
2018 Proceedings of the Third International Conference on Economic and Business Management (FEBM 2018)   unpublished
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
more » ... among which soybean is the strongest, maize is the second, and wheat is the weakest.
doi:10.2991/febm-18.2018.44 fatcat:2kwc76bsebhrdpkogw6fjgfj6a