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- W2374091738 abstract "The paper makes an empirical analysis of corn futures price returns and volatility in Dalian,China and CBOT,USA through Co-integration Model,Granger Causality Relation Testing,Error Correction Model and several GRACH Models.It finds that there is dual-directional Granger causality relation,prominent co-integrated relation,marked change in the same direction and long-term common trend between Dalian and CBOT's futures prices.Error Correction Model shows that there is no marked difference in the long-term futures price returns between the two markets;corn futures prices of one market have been affected by those of the other market;and there is definite difference in the short-term fluctuation process.In addition,several GARCH Models show that there is definite asymmetry in interaction and influence of volatility between the two markets.There exist spillover effects and leverage effects on the two markets.Dalian corn futures market has significant spillover effects on CBOT corn futures market while CBOT corn futures market has no significant spillover effects on Dalian corn futures market.There exists some asymmetry in the influence of volatility on news.Hence,Dalian corn futures price has some function of international pricing." @default.
- W2374091738 created "2016-06-24" @default.
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- W2374091738 date "2011-01-01" @default.
- W2374091738 modified "2023-09-23" @default.
- W2374091738 title "Empirical Study of Corn Futures Price Returns and Volatility——Case Study of Dalian,China and CBOT,USA" @default.
- W2374091738 hasPublicationYear "2011" @default.
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