Research on the Price Spillover Effect and Dynamic Correlation between the Futures Market and the Spot Market of Rapeseed Oil in China

Abstract

Abstract: This paper uses the VAR-BEKK-GARCH model and the DCC-MGARCH model to conduct an empirical analysis of the price spillover effect and dynamic correlation between the futures market and the spot market of rapeseed oil in China. The results show that:the futures market of rapeseed oil in China has a one-way mean spillover effect on the spot market, but it remains to be verified whether the futures market can always effectively detect and guide the spot price. It is also found that there exists dynamic correlation and time-varying characteristics between the futures market and the spot market of rapeseed oil in China. Studies have shown that to promote the healthy development of the rapeseed oil futures market and the rapeseed industry, it is necessary to give full play to the decisive role of market mechanisms, continue to promote comprehensive deepening reforms of the market, and work hard in terms of institutional mechanisms and social services.

Key words: rapeseed oil futures, agricultural product prices, spillover effects, dynamic correlation

CLC Number:

F323.7

WANG Yu-qing, WEN Tao. Research on the Price Spillover Effect and Dynamic Correlation between the Futures Market and the Spot Market of Rapeseed Oil in China[J]. Journal of Guizhou University of Finance and Economics, 2021(01): 76-85.

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