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Analysis of Volatility Spillover Effect of Soybean Price between Domestic and International Markets

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  • LIN, Xuegui

Abstract

Sharp fluctuation of soybean prices in international and domestic markets has caused big risks for both domestic soybean producers and processing enterprises in recent years. It also increases the difficulties in implementing price stabilization policy for the government. This paper analyzes the volatility spillovers in soybean prices between international and domestic markets using the multivariate VAR-BEKK-GARCH model based on the data set from the December 22, 2004 to December 19, 2014. The estimate results indicate that there are volatility spillover effects from domestic futures market to spot market and bilateral spillover between international futures market and domestic spot market. In order to prevent market manipulation and to reduce the impacts of price volatility in international soybean market on Chinese market, this paper proposes the following policy measures such as establishing early warning mechanism for soybean price fluctuations, improving soybean futures contract design and strengthening trading risk management mechanism, amplifying information disclosure system, and regularizing speculation activities of big traders.

Suggested Citation

  • LIN, Xuegui, 2018. "Analysis of Volatility Spillover Effect of Soybean Price between Domestic and International Markets," Asian Agricultural Research, USA-China Science and Culture Media Corporation, vol. 10(01), January.
    • Handle: RePEc:ags:asagre:271655
    DOI: 10.22004/ag.econ.271655
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    File URL: https://ageconsearch.umn.edu/record/271655/files/Analysis%20of%20Volatility%20Spillover%20Effect%20of%20Soybean%20Price%20between%20Domestic%20and%20International%20Markets%20.PDF
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    Cited by:

    1. Zhang, Youwang & Li, Chogguang & Xu, Yuanyuan & Li, Jian, 2020. "An attribution analysis of soybean price volatility in China: global market connectedness or energy market transmission?," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 22(1), July.
    2. Sisi Qin & Wee‐Yeap Lau, 2023. "Cross‐border and cross‐commodity volatility spillover effects of Chinese soybean futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(12), pages 1836-1852, December.

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    Keywords

    Agribusiness;

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