Qin, Sisi and Lau, Wee-Yeap (2024) Extreme Risk Spillovers From US Soybean Futures Market to China's Soybean-Linked Futures Markets. Journal of Futures Markets, 44 (11). pp. 1735-1749. ISSN 0270-7314, DOI https://doi.org/10.1002/fut.22542.
Full text not available from this repository.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.
| Item Type: | Article |
|---|---|
| Funders: | UNSPECIFIED |
| Uncontrolled Keywords: | cross-border; risk spillover; soybean-linked futures |
| Subjects: | H Social Sciences > HF Commerce |
| Divisions: | Faculty of Business and Economics |
| Depositing User: | Ms. Juhaida Abd Rahim |
| Date Deposited: | 09 Apr 2025 07:25 |
| Last Modified: | 09 Apr 2025 07:25 |
| URI: | http://eprints.um.edu.my/id/eprint/46702 |
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