Risk Spillover Effects Of Corn Futures Markets In China And The United States

As one of the earliest futures varieties in the world,corn futures has become one of the most active futures varieties after many years of development.The United States is the largest country in the world impacting maize production and consumption,and the Chicago commodity exchange in corn futures on the corn futures markets around the world have had a significant impact,its corn futures price is one of the world's corn futures price "barometer",leading the world corn futures pricing.China is the second largest producer and consumer of corn in the world.Its position is second only to that of the United States.Since the resumption of the corn futures market on September 22,2004 at the Dalian commodity exchange,the price has been rising and the market scale has been expanding and improving.By studying the risk spillover effect of corn futures market in China and the United States,this paper explores the relevance of the corn futures market in China and the United States,the direction of risk spillover and hedging measures.The risk spillover effect from which has great significance to January 4,2016 to May 31,2017 is divided into four sub stages: An empirical study in Dalian commodity exchange and Chicago commodity exchange in corn futures.This paper firstly introduces the research significance,methods and research status at home and abroad.Secondly,in the second chapter,the theoretical model and qualitative analysis are introduced.Theoretical models include GARCH,CoVaR and Copula models.The qualitative analysis includes the analysis of the risk spillover effect of the Sino-US corn futures market based on the completely rational and non-completely rational angle.In the third chapter,the statistical characteristics of data are studied on corn futures in Dalian commodity exchange and Chicago commodity exchange futures,stability is verified of corn futures yield of the two rate of sequence.GARCH model is constructed,based on the correlation coefficient and the rank correlation coefficient in the verification of two futures return rate series of corn and the unconditional risk value relevance.The results show that there is a positive correlation between the corn of two market,there is a risk of positive spillover effects.Furthermore,according to the estimated results,both corn futures have positive risk spillover effect,and the risk spillover effect during the financial crisis is obviously greater than that during the non-financial crisis;and during the period of crisis and the stock market instability in China,the risk spillover effect of corn futures on Chicago Mercantile Exchange in corn futures for the Dalian Commodity Exchange is greater than that of the Dalian Commodity Exchange of corn futures on the Chicago Mercantile Exchange in corn futures;after the financial crisis,Dalian Commodity Exchange of corn futures on the Chicago Mercantile Exchange in corn futures spillover effect is greater than the risk of the Chicago Mercantile Exchange in corn futures in Dalian Commodity Exchange risk spillover effects of corn futures.Finally,a summary of the full text is given,and some suggestions are put forward from the perspective of regulators,investors and global pricing power.