Extreme Risk Spillovers From US Soybean Futures Market to China's Soybean-Linked Futures Markets
Document Type
Article
Publication Date
11-1-2024
Abstract
This study investigates the cross-border risk spillovers between the US soybean futures market and Chinese soybean-related futures markets. We first confirm the existence of strong tail dependence between US soybean futures and four Chinese soybean-related futures by conducting a novel quantile-Granger causality test. Second, tests under MVMQ-CAViaR further provide evidence of risk spillovers from CBOT soybean futures to the DCE No.1 soybean, No.2 soybean, soybean meal, and soybean oil futures in value-at-risk at different quantiles. Lastly, results from the quantile impulse-response function reveal the time-varying and asymmetric property of risk spillover effects. In addition, we compare the results from two subsample periods and identify different risk spillover effects across markets at different quantiles that may contribute to the investors' decision-making under extreme market conditions.
Keywords
cross-border, risk spillover, soybean-linked futures
Divisions
Faculty_of_Business_and_Accountancy
Publication Title
Journal of Futures Markets
Volume
44
Issue
11
Publisher
Wiley
Publisher Location
111 RIVER ST, HOBOKEN 07030-5774, NJ USA