Infomation Flows between the US and China's Agricultural Commodity Futures Markets -- Based on VAR_BEKK-Skew-t Model
by Qian Chen, Xin Weng
ARTICLE | Emerging Markets Finance and Trade | 2017
Abstract
The information flow in the volatility and the skewness of returns are two factors closely influences the hedging risks for cross-border transactions. This paper adopts a VAR-BEKK-MGARCH model with multivariate skew-t error terms to investigate the mean and volatility spillovers, while accounting for the potential skewness. The model is applied to real returns of corn, wheat and soybeans futures in US and China. The empirical results indicate the major role of US in information transmission, and the increasing volatility spillovers of China to US in highly marketised commodities and after trading structure changes. The analysis of skewness provides evidences for market inefficiency and implication on the investment decision and trading strategies.
Popular Articles
-
International Student Profile: Kevin Kurnia
Oct 12 2017
-
PHBS Opening a Campus in UK: Se...
Feb 22 2017
-
PHBSers: Wishing You a Better Year Ahead!
Dec 30 2016
Latest News
-
Yeujun Yoon: Rise to Challenges and Find the True Calling
Time:Feb 23 2018
-
PHBS Exchange Students: Heavier Luggage, Fuller Hearts
Time:Jan 23 2018
-
PHBS 2018 Winter Camp: When Pyth...
Time:Jan 23 2018
Campus Events