| As a strategic material second only to grain in China,cotton is both an important agricultural product and a key cash crop.China’s cotton and cotton textile industry chain is large-scale,the number of participants and employees is large,and China plays an important role in the world cotton and cotton textile market.With the frequent occurrence of global emergencies,the trend of commodity financialization has gradually become prominent,the correlation between prices in the world’s major cotton markets has been increasing,and the transmission between international markets has become an important influencing factor in addition to the determination of supply and demand for cotton prices.Now China’s cotton futures have been developed for 18 years,and cotton yarn futures have been launched for 5years.Can the price information of the Sino-US cotton and cotton yarn futures markets be effectively transmitted? Is there a difference in spillover effects between the Chinese and American cotton yarn futures markets? What is China’s pricing position in the global cotton market? How will emergencies such as the Sino-US trade friction and the new crown epidemic affect Sino-US cotton futures? This is a key issue related to the vital interests of enterprises and individuals in the cotton industry chain,and to the stable and healthy development of the cotton market and the cotton textile industry.Therefore,this paper selects the daily closing price data of Chinese cotton futures,cotton yarn futures and US cotton futures from September 1,2017 to December 31,2022,and uses the mutation point test method to combine the actual impact of the two major emergencies of Sino-US trade frictions and the new crown epidemic on the cotton industry,and divides the sample range into four periods.Firstly,the Grange causality test was used to judge the change of price guidance relationship between cotton and cotton yarn futures between China and the United States at each stage.Secondly,the VAR model is established and the direction and intensity of price mean spillover between the three markets are analyzed using impulse response analysis and variance decomposition.Then,the BEKK-GARCH model was used to analyze the fluctuation spillover direction and intensity between Sino-US cotton and cotton yarn futures at different stages.From empirical analysis,it can be obtained: in the context of Sino-US trade frictions and new crown epidemic emergencies,U.S.cotton futures have always maintained a one-way guiding relationship with China’s cotton futures and China’s cotton yarn futures,and the United States has always occupied the right to speak on international cotton prices,while the correlation between China’s cotton futures and cotton yarn futures has been greatly affected by emergencies,from a two-way guidance relationship to a one-way guidance relationship until the two have no guidance relationship,and the independence of China’s cotton yarn futures has gradually increased since its listing.The operating effect of cotton yarn futures has been exerted,and the mean spillover effect of China’s cotton futures on US cotton futures has been enhanced,but the influence is still relatively limited.In terms of volatility spillover effect,the two-way fluctuation spillover effect between Sino-US cotton and cotton yarn futures has become a one-way spillover of China’s cotton futures to U.S.cotton futures under the influence of Sino-US trade frictions,and a one-way spillover of U.S.cotton futures to China’s cotton futures due to the impact of the new crown epidemic on China’s cotton futures,and with the fading of Sino-US trade frictions and the impact of the new crown epidemic on the cotton industry,the three markets of Sino-US cotton and cotton yarn futures have a two-way fluctuation spillover effect between each other,which shows that the correlation between China and US cotton futures has been significantly enhanced.The conclusions of the above analysis put forward corresponding policy suggestions for reference from four aspects: promoting the increase in cotton quality in China to reduce the demand for US cotton,improving the anti-risk ability of China’s cotton industry chain,strengthening guidance for futures market participants,and building an emergency monitoring and response mechanism. |
