Empirical Research on the Returns Ratio and Volatility of Corn Futures Price between Dalian, China and CBOT, USA
This article employed the cointegration model, the Granger causality relation testing, the ECM (error correction model) and the GARCH-type models has made the empirical analysis to the returns ratio and volatility of corn futures between Dalian, China and CBOT, USA. We found that there are the bidirectional Granger causal relation, the remarkable cointegrated relation, the same direction change relation, the long-term common trend between Dalians and CBOTs corn futures prices. The ECM showed that long-term futures price returns ratios do not have the remarkable difference between these two markets, and each market had been affected by the corn futures price of the another market, and the short-term volatility processes have certain difference. The GARCH-type model showed that, two markets have certain degree asymmetry in the conduction and the influence. There had been the spillover effect and the certain leverage effect in two markets. The Dalian corn futures market to the CBOT corn futures market the spillover effect is remarkable existence, but the CBOT corn futures market has not the obvious spillover effect to the Dalian corn futures market. Influence of volatility to news presents the certain degree asymmetry. Therefore, the Dalian com futures price has had the international fixed price function.
corn futures price volatility asymmetry cointegration GARCH-type model
ZHAO Jinwen XING Tiancai GAO Hui
School of Finance, Dongbei University of Finance and Economics, P.R.China, 116025 School of Statistics, Dongbei University of Finance and Economics, P.R.China, 116025
国际会议
威海
英文
500-503
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）