Multiscale co-movement between agricultural futures market and other financial markets in China

YANG Ke, HUANG Yingping, TIAN Fengping

Systems Engineering - Theory & Practice ›› 2022, Vol. 42 ›› Issue (5) : 1172-1184.

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Systems Engineering - Theory & Practice ›› 2022, Vol. 42 ›› Issue (5) : 1172-1184. DOI: 10.12011/SETP2021-1112

Multiscale co-movement between agricultural futures market and other financial markets in China

  • YANG Ke1, HUANG Yingping2, TIAN Fengping3
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Abstract

Under the background of financial integration and commodity financialization, the correlation between agricultural futures and financial assets has increased significantly. Therefore, the study on the co-movement between agricultural futures market and other financial markets is particularly important for China's financial risk regulation and macro-control. On the basis of ensemble empirical model decomposition, combined with maximum information coefficient and transfer entropy, this paper proposes a two-step multiscale co-movement analysis framework, under which the co-movement between agricultural futures market and stock, bond, exchange rate and energy futures market in China is deeply studied from different time scales. The empirical results demonstrate that the co-movement between agricultural futures market and other financial markets has multi-scale differences, and the co-movement between agricultural futures market and energy futures market and stock market is strong, and the intensity of co-movement is the highest in the long-term component. However, the longer the time scale is, the weaker the information transmission intensity between agricultural futures market and other financial markets is. In addition, agricultural futures market receives net information from the stock market in the short and long term, and exports net information to the bond market and the energy futures market in the medium and long term. However, agricultural futures market only has significant information transfer effect on the foreign exchange market in the short term after the exchange rate reform.

Key words

agricultural futures / co-movement / ensemble empirical model decomposition / transfer entropy

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YANG Ke , HUANG Yingping , TIAN Fengping. Multiscale co-movement between agricultural futures market and other financial markets in China. Systems Engineering - Theory & Practice, 2022, 42(5): 1172-1184 https://doi.org/10.12011/SETP2021-1112

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Funding

National Natural Science Foundation of China (71673089, 71991474); National Social Science Foundation of China (19ZDA093); Natural Science Foundation of Guangdong Province of China (2021A1515012643, 2019A1515012236); Philosophy and Social Sciences Foundation of Guangdong Province of China (GD20CYJ38)
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