Volatility Spillover Effect Study in Agricultural Futures Markets of China and USA Based on Time-varying Perspective

Taking into account time-varying and dynamic properties of volatility spillover effect in the financial markets, this paper studied the time-varying volatility relationship between agriculture futures markets at home and abroad by the bivariate BEKK, and concluded that: The agricultural futures volatility is significantly affected by their own pre-fluctuations, with aggregation and lasting properties; There is no volatility effect between US corn futures and China corn futures markets. However, there are bi-directional volatility spillover between the US soybean futures and Chinese soybean futures, and US soybean meal futures and Chinese soybean meal futures. Chinese soybean futures and soybean meal futures have pricing power in the world agricultural product futures market.