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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.