Cointegration, Linear and Nonlinear Causality among Futures with Different Maturities: Evidence from Indian Agricultural Commodity Futures Markets

2012 ◽  
Author(s):  
Tarun Kumar Soni
Keyword(s):  
Futures Markets ◽  
Commodity Futures ◽  
Agricultural Commodity ◽  
Commodity Futures Markets ◽  
Linear And Nonlinear

scholarly journals Risk Transmission between Chinese and U.S. Agricultural Commodity Futures Markets—A CoVaR Approach

2019 ◽  
Vol 11 (1) ◽  
pp. 239 ◽  
Author(s):  
Yangmin Ke ◽  
Chongguang Li ◽  
Andrew M. McKenzie ◽  
Ping Liu
Keyword(s):  
Value At Risk ◽  
Futures Markets ◽  
Price Discovery ◽  
Commodity Futures ◽  
Conditional Value At Risk ◽  
Chinese Government ◽  
Agricultural Commodity ◽  
Futures Exchanges ◽  
Commodity Futures Markets ◽  
Agricultural Futures

Commodity futures markets play an important role, through risk management and price discovery, in helping firms make sustainable production and marketing decisions. An important related issue is how pricing signals between futures exchanges impact traders’ risk. We address this issue by shedding light on risk transmission between the most mature (U.S.) and the fastest growing (Chinese) commodity futures markets. Gaining greater insight of risk transmission between these key markets is vitally important to firms engaged in the efficient and sustainable trade of commodities needed to feed the world. We examine the risk transmission between Chinese and U.S. agricultural futures markets for soybean, corn, and sugar with a Copula based conditional value at risk (CoVaR) approach. We find significant upside, and to a lesser extent downside risk transmission, between Chinese and U.S. markets. We confirm the dominant pricing role of U.S. agricultural futures markets while acknowledging the increasing price discovery role performed by Chinese markets. Our results highlight that soybean markets exhibit greater risk transmission than sugar and corn markets. We argue that our findings may be explained by Chinese government policy intervention, and by the large role played by U.S. firms in the underlying cash commodity markets–both in terms of production and trade.

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