Research On The Volatility Of My Country's Soybean Meal Futures Market Under The Background Of Sino-US Trade Dispute

With the continuous improvement of China's economy,China's futures market has developed rapidly,and the relationship with other futures markets is constantly changing.Under the realistic background that China must import a large number of soybeans to meet domestic demand and Sino-US trade disputes continue,the research on the impact of Sino-US trade disputes on the volatility of China's soybean meal futures market has important guiding significance for China to prevent financial market risks and stabilize the development of real economy.In this paper,Sino-US trade dispute this event as the background,the main study of Sino-US trade disputes on China's soybean meal futures market how the impact of it,it is based on ARCH family model and expand the Sino-US trade dispute before and after China's soybean meal futures market compared to study the Sino-American trade disputes on China's soybean meals futures market fluctuations.In the course of this study,the daily closing price of soybean meal futures contract in Dalian Commodity Exchange(DCE)as a sample data,through the empirical description of the relationship between China's soybean meal futures market volatility and Sino-US trade disputes.In this paper,the daily closing price of the main contract of soybean meal futures market in DCE Exchange from 2010.1.1 to 2019.12.31 is selected as the sample data,and transformed into stable time series data through differential processing.This paper takes the time of China's formal inclusion of U.S.soybeans in the list of tariff-imposed commodities on April 4,2018 as the key time node of Sino-US trade disputes,divides the whole period data into two parts,and the sample data before Sino-US trade disputes are divided into 2014.1.1-2018.4.4,which is divided into two parts.The sample data range during the period of Sino-US trade disputes is 2018.4.5-2019.12.31.In this paper,the Sino-US trade dispute before and after China's soybean meal futures market volatility changes in research and analysis.The following conclusions are drawn:(1)China's soybean meal futures market has significant peak fat tail and volatility clustering characteristics.Whether in the Sino-US trade dispute before or during the trade dispute,the yield series of Chinese DCE soybean meal futures show a certain peakfat tail characteristics.That is to say,big fluctuations and small fluctuations always appear in groups,specifically,if there is a big fluctuation at a time,it will usually follow the big fluctuation,and if there is a small fluctuation at a time,it will follow the small fluctuation.(2)The Sino-US trade dispute has affected the volatility of China's soybean meal futures market.By introducing the dummy variable of Sino-US trade dispute,the study finds that after the Sino-US trade dispute,the overall volatility of China's soybean meal futures market becomes larger.However,because of its small value,it shows that this fluctuation is limited.(3)Sino-US trade disputes improve the information processing efficiency of China's soybean meal futures market.By using GARCH model,this paper compares the yield volatility before and after the trade dispute between China and the United States,and finds that the impact of new information on China's soybean meal futures market is increased,while the impact of old information on the market is weakened,which shows that the information transmission efficiency of the market is improved.(4)The trade dispute between China and the United States has changed the asymmetric effect of China's soybean meal futures market.Through the analysis of TGARCH model,we find that the positive news and negative news have different impact on the volatility of soybean meal futures market.After the Sino-US trade dispute,the impact of good news on China's soybean meal futures market has become smaller,while the impact of bad news on China's soybean meal futures market has become larger.