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dc.contributor.authorJiang, Huayun
dc.contributor.authorTodorova, Neda
dc.contributor.authorRoca, Eduardo
dc.contributor.authorSu, Jen-Je
dc.date.accessioned2017-05-29T12:32:03Z
dc.date.available2017-05-29T12:32:03Z
dc.date.issued2017
dc.identifier.issn0003-6846
dc.identifier.doi10.1080/00036846.2016.1262517
dc.identifier.urihttp://hdl.handle.net/10072/337241
dc.description.abstractThe U.S. and China are two of the biggest players in the world agricultural market. The literature documents that volatility in the U.S. agricultural futures market spills over significantly to that of China. This article provides further insights into the spillovers from China to the U.S. as well as the time horizon and dynamics of the bidirectional spillovers through the application of a multivariate extension of the heterogeneous autoregressive model, in relation to four commodities – soybean, wheat, corn and sugar. The results confirm the existence of significant spillovers from the U.S. to China for four commodities, which are primarily generated by the shorter-term volatility components in the U.S., and provide evidence for the increasing pricing power of the Chinese market. The findings are robust against various specifications and have important investment and policy implications.
dc.description.peerreviewedYes
dc.languageEnglish
dc.publisherRoutledge
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto19
dc.relation.ispartofjournalApplied Economics
dc.subject.fieldofresearchAgricultural Economics
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchcode140201
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1502
dc.subject.fieldofresearchcode1403
dc.titleDynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.hasfulltextNo Full Text
gro.griffith.authorRoca, Eduardo D.
gro.griffith.authorSu, Jen-Je
gro.griffith.authorTodorova, Neda
gro.griffith.authorJiang, Huayun


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