Analysis of Co-Integration and Volatility Spillover Effects between Chinese and International Agricultural Products Futures Markets

Daily futures data of hard wheat, cotton, soybean and corn from commodity exchanges of America Chicago Board of Trade (CBOT), Zhengzhou Commodity Exchange (CZCE) and Dalian Commodity Exchange (DCE) are analyzed in this paper. First, the co-integration test and Granger causality test are used to study the integration relationship between Chicago and Chinese futures markets. Then, multivariate GARCH (MGARCH) model is used to analyze the risk spillover effect of price volatility between them. At last, the results of the analysis are given.