Study On The Fluctuation Relevance Of Soybean Spot Price And Futures Price Between DCE And CBOT

Under the commodity finance background, the links between financial and commoditymarkets become closer, the changes of one market tend to cause a reaction of another, especiallyin the soybean market.The soybean futures develops rapidly and has become one of the mainvarieties of the DCE, the volume of it laid in second place in the world, after the CBOT. Weshould pay attention to the linkage transmission mechanism between DCE and CBOT.Meanwhile, because soybean futures in the dominant position of agricultural commodity futuresmarkets, research the linkage between soybean futures and other related agricultural productfutures is also meaningful.With wavelet analysis method, VAR and multi-GARCH-BEKK model, this paper exploresthe relevance of soybean spot price in domestic, futures prices in DEC and CBOT, underdifferent cycles in two views of price spillover and volatility spillover. It also explores therelevance of soybean, corn and wheat in domestic.(1)It presents that there exist significant one-way or two-way spillover effect under differentcycles of soybean spot price and futures prices in DEC and CBOT, Price transmission andvolatility transmission both have time lag, the volatility transmission is faster than pricetransmission.At first, the spillover effect is from the futures markets to spot market and fromCBOT to DCE. Later to achieved bi-directional spillover.(2)It presents that there existsignificant correlationship between soybean, corn and wheat under different cycles, and thecorrelationship is stronger beween soybean and corn rather than beween soybean and wheat.