The Study On The Spillover Effect Between The US And China Soybean Futures Under The Background Of Trade War

Information transmission and price transmission can be found between two financial markets.The rise or fall of one market may cause the fluctuation of another.The connection between two financial markets described above is called spillover effect.There may be some sort of price transmission mechanism between the soybean price of Chicago Board of Trade and Dalian Commodity Exchange.The thesis studies the spillover effect between CBOT and DCE soybean futures prices,including the spillover effect under the background of Sino-US Trade War.The conclusion of the research is that spillover effect does exist between CBOT and DCE soybean price,and that the connection between the two market prices is stronger under the background of trade warIn recent decades,scholars at home and abroad have employed different econometric models and methods to study the price transmission relationship among different international agricultural futures markets.Most of the agricultural futures markets proved to have price transmission relationship,but the degree of price transmission between different markets is different,and the dominant market is also different.In addition,the transmission range of agricultural product prices may change in different economic stages.Most domestic scholars' research shows that there is price transmission mechanism between China agricultural futures market and other global futures markets,and global markets have spillover effect on China agricultural futures market.However,there are also different voices arguing that China's soybean futures are not affected by the global market.At present,researches study on spillover effect tend to employ methods listed below:Vector Auto-Regression Model,Markov-Switch Vector Auto-Regression Model.Vector Error Correction Model,Autoregressive Conditional Heteroskedasticity Model.Generalized Autoregressive Conditional Heteroskedasticity Model.In the thesis,the author built Variable Auto Regression model to quantify the price transmission.Besides,under the background of Sino-US Trade War,the mechanism of price transmission may change over time.Consequently,the author modeled two VAR time series to recognize the variation of price transmission over two periods.Original data includes CBOT soybean price and DCE soybean price between Feb.2014 and Feb.2019.The result shows that spillover effect exists,and the connection between the two market prices is closer under the background of Trade War.To be specific,spillover effect is stronger.Literature research method and empirical research method are employed in this paper.The structure of this paper is as follows:Firstly,in the first chapter,the background and significance of the research are discussed;the relevant references at home and abroad are sorted out.and the excellent models and theories in the literature are used for reference.In the second chapter,the development and current situation of soybean market and soybean futures in China and the United States are described,and the influencing factors of the futures market are analyzed.Then,in the third chapter,the author mainly use the vector autoregressive method to do empirical research,test and process the data.A suitable model is established to analyze the data.The stability of the model is tested,and then the author explained the practical meaning according to the model.Finally,in the fourth chapter,according to the empirical results,combining with the current market background,the thesis gives conclusions and suggestions for our domestic futures market.