The Research Of The Volatility Spillover Effect Among International Iron Ore Price

In recent years,China's high-speed rail and other infrastructure construction have continued to increase,and the real estate industry is booming.China's demand for imported iron ore is increasing year by year.It has become the largest importing and consuming country of iron ore in the world.Meanwhile,the volume and influence of iron ore futures contract of Dalian Commodity Exchange are increasing since it was listed in October 2013.It is the largest iron ore derivatives market in the world.The China Securities Regulatory Commission approved the introduction of foreign traders on February 2nd,2018,and the international road was officially opened.The linkage between domestic and foreign iron ore prices will be enhanced,prompting the price of Chinese iron ore futures to become the international pricing standard gradually.Based on this background,the paper will explore the price linkage between the three major futures markets of iron ore in the world.In order to study the volatility spillover effects between international iron ore price,the paper selects the frequency data of iron ore futures closing price from DCE,CME and SGX from January 1st,2015 to June 30 th,2017,and then analyzes the volatility transmission mechanism of futures price that between Chinese,American and Singapore iron ore market by using BEKK-GARCH(1,1)model.The result shows that there are significant two-way volatility spillover effects between the futures markets of China,the United States and Singapore;there is a unidirectional volatility spillover effect between the United States and China,as well as the U.S and Singapore;however,there is only one-way volatility spillover effect from China to Singapore.At the same time,there are differences in the volatility spillover effect between the three countries' futures markets.The volatility spillover effect of Chinese iron ore futures on the U.S and Singapore is significantly stronger than that of the latter two on China,mainly because Chinese iron ore futures have huge trading volume and higher market participation.In addition,this paper proposes recommendations and provided references for futures market investors,regulators,and corporate managers.