Analysis Of Soybean Futures Market Riskspillover Effect Between China And US

In the atmosphere of global market, the financial markets’ linkage between differentcountries is much stronger than ever before. with the gradual standardization ofdomestic futures market, China’s agricultural product futures market is increasinglyachieving mature, Soybean meal market of Dalian Commodity Exchange(DCE) has alsobecome an important hedging tool of the domestic feed processing enterprisesand oil enterprises. In recent years, China’s annual soybean output is about16milliontons, but the annual consumption is about50million tons per year.China need to importnearly40million tons of soybeans, the foreign dependency rate has reached75%. China’s soybean imports is genetically modified soybean, soybean oil andmeal are used to crush, half of domestic soybean is used to squeeze, from our rawmaterial of soybean’s squeezing, soybean imports accounted for a big proportion, closeto90%. The upper content provides an opportunity to study the Risk Spillover Effectbetween soybean meal market of Dalian Commodity Exchange and ChicagoCommodity.(Note: the above data is from China Feed Industry Information Network,www.feedtrade.com.cn/)Because China’s soybean futures varieties consist of soy one and soy two, and soyone is domestic soybean whose volume is active, However, it accounts for less than30percent of consumption of China’s total soybean, thus less enterprises participate in thesoy one futures and it is not widespread. In contrast, the annual consumption ofsoybean meals is up to more than3000tons, which is distributed in relativelywidespread circulation area, Dalian soybean futures market’s turnover is extremelyactive, the main contract positions remain more than a million hands, belonging toagricultural futures star species.(Note: The above data is from the China Feed IndustryInformation Network,www.feedtrade.com.cn/)The soybean future market of Dalian commodity Exchange (DCE) and ChicagoCommodity Exchange (CBOT) own the relationship which is stronger, providing anopportunity of research on the Dalian futures with Chicago Commodity Exchangeregarding of the risk spillover effect.This paper is based on the above background and the results of previous studies.Firstly, estimating the confidence level of risk (VaR) in two soybean’s three common value with the EGARCH model,and analizing the correlation between twocity’s Var and then analyzing two city’s risk spillover effect intwo VaR value. Therefore, this paper is organized as follows: the first chapter isthe introduction part. Firstly introduce the background and significance of theresearch, and the major research ideas and structure of the thesisare arranged as introduced, The second chapter systematically summarize thesearch literature at home and abroad. The third chapter briefly introduces the supplyand demand factors of soybean meal futures market, followed by the introductionof soybean futures market’s risk measurement method and data on the choiceof treatment.In the fourth chapter，firstly inspecting the association of CBOT with theDCE soybean futures market of inspection, mainly taking the GARCH model for thecorrelation between estimated two city based VaR value for testing, includingthe establishment of GARCH model, rekon of two city’s Var and inspection of riskvalue revalance between two city. The main contents of the fifth chapter is the empiricalanalysis of soybean futures risk spillover effect of CBOT and DCE. and the impulseresponse analysis method and the method of Granger causality test. Theresearch contents of the sixth chapter do simple summary, and further pointing out thedeficiencies of the thesis, the research direction of follow-up may be.The thesis combines different status before and after the sample periods of thefinancial crisis, give the discussion of soybean meal Market risk spill over effect in theempirical analysis. The empirical results express that:during the entire studysamples, soybean meal of CBOT and DCE have two bear market mutual riskGranger reason, but before and after the global financial crisis, CBOT soybeanmeal’s market risk is a one-way of DCE soybean meal market risk’sGranger reason.Impulse response analysis shows that in the sample and the totalsample interval, when two city face each other in the market riskshocks, CBOT soybean futures market is positive impulse response stability and firstlyincreasing then decreasing for DCE soybean market. DCE soybeanfutures market shocks in the short term appearing short-lived severe unstable spillovereffect in the face of CBOT soybean futures market risk.In this paper, the main research innovations are： soybean meal is the stapleagricultural product and the domestic feed industry in the world, meanwhile, it’s animportant demand of animal husbandry, China imports large quantity of soybean mealper year, but the quantity of research literature regarding the relation of soybean meal market between China and US is relatively less; the previous studies mainly coverd thestudy of the agricultural product market at home and abroad, less further specificliterature considerd the two market segments, and took the subprime crisis intoaccount; meanwhile, the relevance of previous literature mostly included theprice and yield data of the study of CBOT and DCE soybean meal market, this paperanalyse soybean futures market risk with two city’s VaR.