Information transmission in informationally linked markets: Evidence from US and Chinese commodity futures markets

Liu, Qingfu; An, Yunbi

doi:10.1016/j.jimonfin.2011.05.006

Cited by 87 publications

(42 citation statements)

References 30 publications

(36 reference statements)

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“…Studies demonstrating the predictive power of U.S. soybean futures include those of Liu () who applied VAR and VECM models to daily closing soybean futures prices in both markets from 2004 to 2009, Liu and An () who studied daily closing prices of soybean futures from the DCE and CBOT from 2004 to 2009 with a MGARCH model and Shi and He () who used daily closing soybean futures prices from 2006 to 2011 with a bivariate GARCH‐BEKK model. By applying MGARCH models to daily closing prices of soybean and wheat futures from 2004 to 2007 in the United States and China, Liu () found that the United States acts as an information forerunner.…”

Section: Literature Reviewmentioning

confidence: 99%

Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures

Jiang

Todorova

et al. 2016

Journal of Futures Markets

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This paper examines the daily, overnight, intraday, and rolling return spillovers of four key agricultural commodities—soybeans, wheat, corn, and sugar, between the U.S. and Chinese futures markets via a newly developed quantile dependence measure called quantilogram. The results reveal significant bi‐directional dependence between the two markets across commodities which is greater in extreme quantiles and moderately stronger from the United States to China. These findings offer valuable insights into investors’ behavior, market integration, dissimilarity, and market efficiency in both countries. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1231–1255, 2016

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Section: Literature Reviewmentioning

confidence: 99%

Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures

Jiang

Todorova

et al. 2016

Journal of Futures Markets

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“…For example, the analysis of conventional price dynamics has included the use of cointegration methods (e.g., Hua and Chen ; Liu and An ). Such methods do not consider the explosive process associated with bubbles.…”

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confidence: 99%

Food Price Bubbles and Government Intervention: Is China Different?

Chavas

2016

Canadian J Agri Economics

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The last decade has witnessed different price trajectories in the international and Chinese agricultural commodity markets. This paper compares and contrasts these dynamic patterns between markets from the perspective of price bubbles. A newly developed right-tailed unit root testing procedure is applied to detect price bubbles in the Chicago Board of Trade (CBOT) and Chinese agricultural futures market during the period 2005-14. Results show that Chinese markets experienced less prominent speculative bubbles than the international markets for its high self-sufficiency commodities (wheat and corn), but not for low self-sufficiency commodities (soybean). The difference in price behavior is attributed to differences in market intelligence, and to Chinese agricultural policies related to trade as well as domestic government policies. Besides, it discusses challenges to the sustainability of the stable price trajectory in Chinese markets.Au cours de la dernière décennie, les prix des produits agricoles sur les marchés chinois et international ont suivi des trajectoires variées. Dans le présent article, nous comparons les divers marchés sur le plan des bulles de prix des produits agricoles. Nous avons utilisé un nouveau test de racine unitaire qui exploite la queue de droite de la distribution de la statistique pour déceler les bulles de prix des produits agricoles sur le Chicago Board of Trade (CBOT) et sur les marchésà terme chinois au cours de la période 2005-14. Les résultats de notreétude montrent que les marchés chinois ont connu des bulles spéculatives moins prononcées que les marchés internationaux dans le cas des produits agricoles pour lesquels l'autosuffisance de la Chine est trèsélevée (le blé et le maïs), par rapport aux produits pour lesquels l'autosuffisance est faible (le soja). La différence sur le plan du comportement des prix est attribuable aux différences sur le plan de l'information commerciale ainsi qu'aux politiques agricoles chinoises en matière de commerce età la politique intérieure du pays. Nous avonségalement examiné les défis par rapportà la durabilité d'une trajectoire de prix stables sur les marchés chinois.

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“…In contrast, linkages between European and US exchanges have played a minor role. If international price dynamics have been investigated, China has been included in the analysis but not Europe (e.g., Han et al ., ; Liu and An, ).…”

Section: Introductionmentioning

confidence: 99%

Dynamics Between North American and European Agricultural Futures Prices During Turmoil and Financialization

Adämmer

Bohl

Ledebur

2016

Bulletin of Econ Res

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North American and European agricultural futures markets faced significant changes in recent years, i.e., the financialization which originated in the USA, the increase of futures trading in Europe and the recent price turmoils in international commodity markets. We analyse the longand short-run dynamics between North American and European agricultural futures prices during these institutional changes. The empirical results show that the US markets lead in terms of price transmissions and volatility spillovers. US markets, however, predominantly react to deviations from the long-run equilibrium which indicates a rising impact of European agricultural markets on a global scale.

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Information transmission in informationally linked markets: Evidence from US and Chinese commodity futures markets

Cited by 87 publications

References 30 publications

Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures

Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures

Food Price Bubbles and Government Intervention: Is China Different?

Dynamics Between North American and European Agricultural Futures Prices During Turmoil and Financialization

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