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Abstract

The price variability of agricultural commodities reached record levels in 2008, and again more recently in 2010, raising concerns about this increased price volatility would be temporal or structural. The Chinese soybean futures market is the second largest in the world in terms of trading volume. There are two soybean futures contracts in China: non-GM and GM. This study examines the volatility determinants as well as seasonality of non-GM and GM soybean futures prices traded in Dalian Commodity Exchange from 2005 to 2014. Also, we test the co-movement between these two soybeans markets. We analyze the volatility by incorporating changes in important economic variables into the Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedastic (DCC-GARCH) model. This research provides statistical evidence that the futures prices of soybeans in China are being influenced by the increasing consumption of soybeans, the import quantity of soybean, the trading volume in futures market and weather.

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