Cross-correlation Analysis Of Agricultural Futures Market Risk Under The Background Of Sino-US Trade War

Since China ’s accession to the World Trade Organization,the trade in bulk agricultural products,especially imports,has grown rapidly,today China has developed into a net importer of agricultural products.The import trade of agricultural products can effectively meet the huge demand of Chinese people,and can alleviate the shortage of arable land and the deteriorating environment in China.The development of China’s agricultural modernization is not perfect,and the agricultural foundation is relatively weak.Once there is no effective protection policy and regulation policy,the large-scale import of agricultural products with high degree of openness will undoubtedly have a great impact on the relevant domestic industrial chain,of which soybeans bear the brunt.At the same time,as China’s demand for agricultural products continues to grow,the import volume of agricultural products has also increased,and the scope of imports has become wider and wider.The price fluctuations in the international market and the impact of various risks on the domestic market are more direct.It is worthwhile to explore the price fluctuation relationship between bulk agricultural products futures.avoid the risk of frequent and large fluctuations in the prices of bulk agricultural products,and accelerate the development of China’s large agricultural product futures market and the transformation of China’s economy.Today,soybeans are the most dependent on imports for bulk agricultural products,and China’s soybean imports have jumped to the top in the world.The 2018 Sino-US trade friction(China-US "trade war")has made soybeans the focus of Sino-US "trade wars".The Sino-US soybean market has produced serious problems in terms of soybean long-term demand expectations and industrial development.Certainty,although China and the United States are still in mutual consultation.the bulk agricultural products futures in the futures market have long been affected by the Sino-US trade war.The soybean market is highly volatile due to the high interdependence between the US and the US.The highest level of attention.Therefore,no matter from the perspective of the agricultural development strategy that guarantees the basic supply of food and the development of the industrial chain,or the improvement of the anti-risk ability of China’s futures market,and even strive to build a global soybean futures pricing center,the cross-risk risk of Sino-US soybean futures is studied.At present,scholars’ research methods on the relevance of Sino-US soybean futures mainly focus on cointegration test,Grangcer causality test,VAR model,DCC-MIDAD mixing analysis model,etc.These methods are used to analyze nonlinear features and fractal features.Soybean futures time series has certain defects.Therefore,based on the theory of fractal market hypothesis,this paper uses multi-fractal theory to select soybeans of agricultural products as research objects,and CBOT US soybean index and Dashang soybean futures price index in 2018.The daily and weekly data from Januany 1st to March 1st.2019 is the research sample.The multi-fractal decgree(MV)is used to characterize the risk,and the sliding)window technique is introduced.The cross-correlation test is used to multi-fractal and fluctuate crossover.Correlation analysis method(MF-X-DFA)analysis method,studied the cross-correlation characteristics of Sino-US sovbean futures market risk and the difference between their risks.The results show that the cross-correlation between Chinese and American soybean futures market risks is obvious.The cross-correlation relationship has long memory and obvious multi-fractal characteristics.according to which the risk regulation in the context of the "trade war" between China and the United States A nd make recommendations for the construction and development of the soybean industry independent markets for agricultural products in China.