Different from western markets, the margin rates in Chinese futures markets are raised when contract approaches maturity. This paper concentrates on the effect of this time dependent margin rule on volatility. Open in...Different from western markets, the margin rates in Chinese futures markets are raised when contract approaches maturity. This paper concentrates on the effect of this time dependent margin rule on volatility. Open interest, another candidate in the margin rule, is also included in our model to investigate its necessity as one of the factors of the rise of margin rates. With the popular copper contract in Shanghai Futures Exchange （ SHFE）, our test results suggest that margin levels have a significant positive effect on volatility, yet open interest has little to do with volatility. The implication is that the rise of margin rate approaching maturity virtually deteriorates the degree of market risks, and open interest is not a necessary factor for the margin rule. It indicates that the policy tool, represented by margin rates, has significantly greater influence on volatility than the market element, represented by open interest.展开更多
This paper sets out to explore the contagion of systemic risk in Chinese commodity futures market based on specific tools of the graph-theory.More precisely,we use minimum spanning trees as a way to identify the most ...This paper sets out to explore the contagion of systemic risk in Chinese commodity futures market based on specific tools of the graph-theory.More precisely,we use minimum spanning trees as a way to identify the most probable path for the transmission of prices shocks.In the sample of 30 kinds of Chinese commodity futures,we construct the MST and obtain the most probable and the shortest path for the transmission of a prices shock.We find that metal futures play an important role in commodity futures market and copper stands at the heart of the system(The core position of the system is very important for the transmission of system risk).And our results also reveal that when the risk occurs,the MST structure becomes smaller,leading to the most effective transmission path of risk becomes shorter.展开更多
Research on information spillover effects between financial markets remains active in the economic community. A Granger-type model has recently been used to investigate the spillover between London Metal Exchange(LME)...Research on information spillover effects between financial markets remains active in the economic community. A Granger-type model has recently been used to investigate the spillover between London Metal Exchange(LME) and Shanghai Futures Exchange(SHFE) ,however,possible correlation between the future price and return on different time scales have been ignored. In this paper,wavelet multiresolution decomposition is used to investigate the spillover effects of copper future returns between the two markets. The daily return time series are decomposed on 2n(n=1,…,6) frequency bands through wavelet mul-tiresolution analysis. The correlation between the two markets is studied with decomposed data. It is shown that high frequency detail components represent much more energy than low-frequency smooth components. The relation between copper future daily returns in LME and that in SHFE are different on different time scales. The fluctuations of the copper future daily returns in LME have large effect on that in SHFE in 32-day scale,but small effect in high frequency scales. It also has evidence that strong effects exist between LME and SHFE for monthly responses of the copper futures but not for daily responses.展开更多
No-arbitrage bound is established with no-arbitrage theory considering all kinds of trade costs, different deposit and loan interest rate, margin and tax in futures markets. The empirical results find that there are m...No-arbitrage bound is established with no-arbitrage theory considering all kinds of trade costs, different deposit and loan interest rate, margin and tax in futures markets. The empirical results find that there are many lower bound arbitrage opportunities in China copper futures market from August 8th, 2003 to August 16th, 2005, Concretely, no-arbitrage opportunity is dominant and lower bound arbitrage is narrow in normal market segment. Lower bound arbitrage almost always exists with huge magnitude in inverted market segment. There is basically no-arbitrage in normal market because spot volume is enough, so that upper or lower bound arbi- trage can be realized, There is mostly lower bound arbitrage in inverted market because spot volume is lack.展开更多
COVID-19 was first reported in China and quickly spread throughout the world.Weak investor confidence in government efforts to control the pandemic seriously affected global financial markets.This study investigated c...COVID-19 was first reported in China and quickly spread throughout the world.Weak investor confidence in government efforts to control the pandemic seriously affected global financial markets.This study investigated chaos in China’s futures market during COVID-19,focusing on the degree of chaos at different periods during the pandemic.We constructed a phase diagram to observe the attractor trajectory of index futures(IFs).During the COVID-19 outbreak,overall chaos in China’s futures market was increasing,and there was a clear correlation between market volatility and the macroenvironment(mainly government regulation).The Hurst index,calculated by rescaled range(R/S)analysis,was 0.46.The price and return of IFs showed long-term correlation and fractal characteristics;the relevant dimensions of the futures market were 2.17.Overall,under the influence of an emergency(COVID-19),chaos in China’s financial market intensified,creating a need for timely government intervention and macrocontrol of the market.This study’s findings can help improve the government’s understanding of the phenomenon of financial chaos caused by emergencies.This study also provides theoretical guidance for controlling financial chaos and maintaining healthy economic development when faced with similar events in the future.展开更多
Since the 1990s, futures trading with its particular economic form and functions, has interested domestic enterprises. To support the development of the futures market in a standard way, the State Council has authoriz...Since the 1990s, futures trading with its particular economic form and functions, has interested domestic enterprises. To support the development of the futures market in a standard way, the State Council has authorized the State Supervisory and Administrative Commission for Securities Trading展开更多
Electric power market is the lifeblood of business survival, electric power is the power of marketing the company＇ s core business and it is related to the survival and development of the electricity business. Power ...Electric power market is the lifeblood of business survival, electric power is the power of marketing the company＇ s core business and it is related to the survival and development of the electricity business. Power supply enterprises are to strengthen management, improve efficiency, and reduce costs, we must establish a customer-oriented new concept ＂big marketing, big market, big serve,＂ through the analysis of the current electricity market environment, we can develop appropriate marketing power strategy to effectively open up the electricity market and improve power enterprises in the market economy ＇ s competitiveness.展开更多
The Research on Market Risks has been developed abroad in all sorts of markets since 1960＇s. It＇s necessary to comprehend and consider opportunity and challenge in Chinese futures market from the viewpoint of risk m...The Research on Market Risks has been developed abroad in all sorts of markets since 1960＇s. It＇s necessary to comprehend and consider opportunity and challenge in Chinese futures market from the viewpoint of risk management. With different ARCH models, we find heteroscedasticity does exist in Chinese market, so we adopt the Variance Ratio. We test empirically the prices of Chinese futures market from 1993 to 2002. The results show that only futures price of copper meets the random walk, thereby confirming the weak form market efficiency. It also means that the function of price discovery is weak and the risk of futures market is poor. Finally, we give much constructive policy advice.展开更多
Margin rules are very important rules in futures market. This paper provides a new Value-at-Risk （VaR） approach which uses GARCH model to set margin levels. The new approach overcomes the limitation of the hypothesi...Margin rules are very important rules in futures market. This paper provides a new Value-at-Risk （VaR） approach which uses GARCH model to set margin levels. The new approach overcomes the limitation of the hypothesis of normal distribution in traditional methods and improves the estimation precision. We use the data of metal futures in China＇s Shanghai Futures Exchange （SHFE） to have an empirical study.展开更多
The natural gas market in East Asia remains fragmented without a functioning benchmark price to duly reflect the dynamics of demand and supply forces in the region.A functional regional gas futures market,which is hig...The natural gas market in East Asia remains fragmented without a functioning benchmark price to duly reflect the dynamics of demand and supply forces in the region.A functional regional gas futures market,which is highly dependent on the presence of well-developed physical spot trading,is yet to be established.Since the intra-regional pipeline connection is largely non-existent in East Asia,it is the LNG spot cargo trading that is likely to become the basis for the regional gas futures market.This paper offers a novel approach to understanding the development of such a market by analyzing the experience of a different commodity market-the Dojima Rice Exchange(DRE)-and identifying potentially transferrable lessons in the market design and the role of government regulations.Based on the case study analysis,implications for the development of natural gas trading hubs in East Asia are offered and an LNG futures exchange design is put forward.展开更多
Under the current economic situation,companies should fully realize the importance of relationship marketing,establish good and stable relationships with all related parties,strengthen exchanges and cooperation with e...Under the current economic situation,companies should fully realize the importance of relationship marketing,establish good and stable relationships with all related parties,strengthen exchanges and cooperation with each other,achieve win-win benefits,and promote corporate marketing activities.For the success of the company,we will conduct in-depth investigations in the economic market,improve the products in time,and make plans based on the current development situation.展开更多
A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility.To address this issue,we find a phenomenon,“momentum of jumps”(MoJ),that the predi...A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility.To address this issue,we find a phenomenon,“momentum of jumps”(MoJ),that the predictive ability of the jump component is persistent when forecasting the oil futures market volatility.Specifically,we propose a strategy that allows the predictive model to switch between a benchmark model without jumps and an alternative model with a jump component according to their recent past forecasting performance.The volatility data are based on the intraday prices of West Texas Intermediate.Our results indicate that this simple strategy significantly outperforms the individual models and a series of competing strategies such as forecast combinations and shrinkage methods.A mean–variance investor who targets a constant Sharpe ratio can realize the highest economic gains using the MoJ-based volatility forecasts.Our findings survive a wide variety of robustness tests,including different jump measures,alternative volatility measures,various financial markets,and extensive model specifications.展开更多
As a result of computer invention, especially the internet, changes have occurred in all walks of life in the global era including the marketing communication strategies which are inseparable parts of marketing and bu...As a result of computer invention, especially the internet, changes have occurred in all walks of life in the global era including the marketing communication strategies which are inseparable parts of marketing and business. This intensifies the role of marketing communication in achieving business goals. Furthermore, the established and successful philosophy, strategy, technique, and theories of marketing communication in the past are now outdated and unfit for achieving wanted business goals in this information technology era. Besides, information technology inventions have changed people＇s lifestyle especially the global consumer attitude which is responsible for the commotion in today＇s implementation of global marketing communications strategies. This paper examines the implementation of ideas that are considered responsive to the changes of conditions in the past three decades and the future which are completely different with the past development and implementations. This paper illustrates the changes that have occurred in the implementation of integrated marketing communications studies. This paper supports the assumption that integrated marketing communications is considered the business strategy that is able to overcome the present and future global market era challenges展开更多
In the year of 2006, China produced and sold over 7.2 million automobiles, representing a year-on-year growth of more than 25%. In this regard, China has become .the second largest market only to the U.S. for new auto...In the year of 2006, China produced and sold over 7.2 million automobiles, representing a year-on-year growth of more than 25%. In this regard, China has become .the second largest market only to the U.S. for new autos. By the end of last year, the w total amount of autos owned by China stood around 40 million, and it was predicted that this figure would roar to 70 million 3 years later.展开更多
Based on the long tail model,this paper assumes a new form of mutual change between producers and consumers and obtains a consumption and production economic model adapted to the modern market economy,and carries out ...Based on the long tail model,this paper assumes a new form of mutual change between producers and consumers and obtains a consumption and production economic model adapted to the modern market economy,and carries out practical verification of the model.The conclusion is that the main body of the future market economy will change from producers to consumers.展开更多
Africa has traditionally been an important cotton production base.Before the textiles and clothing quota phase-out,cotton markets were mainly in Europe.In 2000,the 27 countries currently members of the European Union ...Africa has traditionally been an important cotton production base.Before the textiles and clothing quota phase-out,cotton markets were mainly in Europe.In 2000,the 27 countries currently members of the European Union imported 1,077 million tons展开更多
Ⅰ. Review the past of 1994 international shiPPing market: 1994 saw world economy begin a new cycle of boom. The economy of the West was on the way to a complete recovery, and that of East Asia was keeping up its stea...Ⅰ. Review the past of 1994 international shiPPing market: 1994 saw world economy begin a new cycle of boom. The economy of the West was on the way to a complete recovery, and that of East Asia was keeping up its steady growth. ACCOFding to the estimation 0f International Monetary Fund, the 1994 growth rate of world economy was 3％ and that of world—trade volume was about 5％. Thanks to these factors, the international shipping market had also Undergone considerable changes. 1. In 1994,world dry—bulk shipping market first sagged and thenstiffened. Affected by the negative growth of展开更多
This paper presents the first formal comparison of Value at risk(VaR)forecasting perfor-mance across various high-frequency volatility models and conventional benchmarks using daily data in the crude oil futures marke...This paper presents the first formal comparison of Value at risk(VaR)forecasting perfor-mance across various high-frequency volatility models and conventional benchmarks using daily data in the crude oil futures market.Our analysis reveals the following key findings:(1)High-frequency data significantly enhance the accuracy of VaR forecasts.Specifically,the realized-GARCH(generalized autoregressive conditional hetero-skedasticity)model that incorporates 5-s realized bipower variation(BPV)outperforms all other models.(2)Not all realized measures are equally effective for VaR forecasting.The 5-s BPV model consistently outperforms other realized measures in forecasting VaR.(3)The choice of sampling frequency plays a crucial role in the performance of realized measures when forecasting VaR.(4)Many more sophisticated realized measures fail to surpass the simple 5-min realized variance(RV)model in forecasting VaR in the crude oil futures market.展开更多
In March 2018,the US used an immense trade deficit as an excuse to provoke trade friction with China.This study uses the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trad...In March 2018,the US used an immense trade deficit as an excuse to provoke trade friction with China.This study uses the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trade friction on soybean futures markets in China and the United States.Results indicate that the Sino-US trade friction weakened the return spillover effect between the soybean futures markets in China and the US,and significantly increased market volatilities.As the scale of additional tariffs increased,the volatility of the Chinese soybean futures market declined;however,the volatility of the US soybean futures market did not weaken.In addition,expanding the sources of soybean imports helped ease the impact of tariffs on China's soybean futures market,while the decline in US soybean exports to China intensified the volatility of the US soybean futures market.In addition,while the release of multiple tariff increases has had a short-termimpact on the returns of soybean futures markets,the impact of trade friction has grad-ually decreased.展开更多
文摘Different from western markets, the margin rates in Chinese futures markets are raised when contract approaches maturity. This paper concentrates on the effect of this time dependent margin rule on volatility. Open interest, another candidate in the margin rule, is also included in our model to investigate its necessity as one of the factors of the rise of margin rates. With the popular copper contract in Shanghai Futures Exchange （ SHFE）, our test results suggest that margin levels have a significant positive effect on volatility, yet open interest has little to do with volatility. The implication is that the rise of margin rate approaching maturity virtually deteriorates the degree of market risks, and open interest is not a necessary factor for the margin rule. It indicates that the policy tool, represented by margin rates, has significantly greater influence on volatility than the market element, represented by open interest.
文摘This paper sets out to explore the contagion of systemic risk in Chinese commodity futures market based on specific tools of the graph-theory.More precisely,we use minimum spanning trees as a way to identify the most probable path for the transmission of prices shocks.In the sample of 30 kinds of Chinese commodity futures,we construct the MST and obtain the most probable and the shortest path for the transmission of a prices shock.We find that metal futures play an important role in commodity futures market and copper stands at the heart of the system(The core position of the system is very important for the transmission of system risk).And our results also reveal that when the risk occurs,the MST structure becomes smaller,leading to the most effective transmission path of risk becomes shorter.
文摘Research on information spillover effects between financial markets remains active in the economic community. A Granger-type model has recently been used to investigate the spillover between London Metal Exchange(LME) and Shanghai Futures Exchange(SHFE) ,however,possible correlation between the future price and return on different time scales have been ignored. In this paper,wavelet multiresolution decomposition is used to investigate the spillover effects of copper future returns between the two markets. The daily return time series are decomposed on 2n(n=1,…,6) frequency bands through wavelet mul-tiresolution analysis. The correlation between the two markets is studied with decomposed data. It is shown that high frequency detail components represent much more energy than low-frequency smooth components. The relation between copper future daily returns in LME and that in SHFE are different on different time scales. The fluctuations of the copper future daily returns in LME have large effect on that in SHFE in 32-day scale,but small effect in high frequency scales. It also has evidence that strong effects exist between LME and SHFE for monthly responses of the copper futures but not for daily responses.
基金National Natural Science Foundation ofChina (No.70331001)
文摘No-arbitrage bound is established with no-arbitrage theory considering all kinds of trade costs, different deposit and loan interest rate, margin and tax in futures markets. The empirical results find that there are many lower bound arbitrage opportunities in China copper futures market from August 8th, 2003 to August 16th, 2005, Concretely, no-arbitrage opportunity is dominant and lower bound arbitrage is narrow in normal market segment. Lower bound arbitrage almost always exists with huge magnitude in inverted market segment. There is basically no-arbitrage in normal market because spot volume is enough, so that upper or lower bound arbi- trage can be realized, There is mostly lower bound arbitrage in inverted market because spot volume is lack.
基金This research was funded by This work was supported by the National Natural Science Foundation of China(No.72073041)Open Foundation for the University Innovation Platform in Hunan Province(No.18K103)+2 种基金2011 Collaborative Innovation Center for Development and Utilization of Finance and Economics Big Data Property,Universities of Hunan Province,Open Project(Nos.20181901CRP03,20181901CRP04,20181901CRP05)2020 Hunan Provincial Higher Education Teaching Reform Research Project(Nos.HNJG–2020–1130,HNJG–2020–1124)and 2020 General Project of Hunan Social Science Fund(No.20B16).
文摘COVID-19 was first reported in China and quickly spread throughout the world.Weak investor confidence in government efforts to control the pandemic seriously affected global financial markets.This study investigated chaos in China’s futures market during COVID-19,focusing on the degree of chaos at different periods during the pandemic.We constructed a phase diagram to observe the attractor trajectory of index futures(IFs).During the COVID-19 outbreak,overall chaos in China’s futures market was increasing,and there was a clear correlation between market volatility and the macroenvironment(mainly government regulation).The Hurst index,calculated by rescaled range(R/S)analysis,was 0.46.The price and return of IFs showed long-term correlation and fractal characteristics;the relevant dimensions of the futures market were 2.17.Overall,under the influence of an emergency(COVID-19),chaos in China’s financial market intensified,creating a need for timely government intervention and macrocontrol of the market.This study’s findings can help improve the government’s understanding of the phenomenon of financial chaos caused by emergencies.This study also provides theoretical guidance for controlling financial chaos and maintaining healthy economic development when faced with similar events in the future.
文摘Since the 1990s, futures trading with its particular economic form and functions, has interested domestic enterprises. To support the development of the futures market in a standard way, the State Council has authorized the State Supervisory and Administrative Commission for Securities Trading
文摘Electric power market is the lifeblood of business survival, electric power is the power of marketing the company＇ s core business and it is related to the survival and development of the electricity business. Power supply enterprises are to strengthen management, improve efficiency, and reduce costs, we must establish a customer-oriented new concept ＂big marketing, big market, big serve,＂ through the analysis of the current electricity market environment, we can develop appropriate marketing power strategy to effectively open up the electricity market and improve power enterprises in the market economy ＇ s competitiveness.
文摘The Research on Market Risks has been developed abroad in all sorts of markets since 1960＇s. It＇s necessary to comprehend and consider opportunity and challenge in Chinese futures market from the viewpoint of risk management. With different ARCH models, we find heteroscedasticity does exist in Chinese market, so we adopt the Variance Ratio. We test empirically the prices of Chinese futures market from 1993 to 2002. The results show that only futures price of copper meets the random walk, thereby confirming the weak form market efficiency. It also means that the function of price discovery is weak and the risk of futures market is poor. Finally, we give much constructive policy advice.
文摘Margin rules are very important rules in futures market. This paper provides a new Value-at-Risk （VaR） approach which uses GARCH model to set margin levels. The new approach overcomes the limitation of the hypothesis of normal distribution in traditional methods and improves the estimation precision. We use the data of metal futures in China＇s Shanghai Futures Exchange （SHFE） to have an empirical study.
文摘The natural gas market in East Asia remains fragmented without a functioning benchmark price to duly reflect the dynamics of demand and supply forces in the region.A functional regional gas futures market,which is highly dependent on the presence of well-developed physical spot trading,is yet to be established.Since the intra-regional pipeline connection is largely non-existent in East Asia,it is the LNG spot cargo trading that is likely to become the basis for the regional gas futures market.This paper offers a novel approach to understanding the development of such a market by analyzing the experience of a different commodity market-the Dojima Rice Exchange(DRE)-and identifying potentially transferrable lessons in the market design and the role of government regulations.Based on the case study analysis,implications for the development of natural gas trading hubs in East Asia are offered and an LNG futures exchange design is put forward.
文摘Under the current economic situation,companies should fully realize the importance of relationship marketing,establish good and stable relationships with all related parties,strengthen exchanges and cooperation with each other,achieve win-win benefits,and promote corporate marketing activities.For the success of the company,we will conduct in-depth investigations in the economic market,improve the products in time,and make plans based on the current development situation.
基金Yaojie Zhang acknowledges the financial support from the National Natural Science Foundation of China(72001110)the Fundamental Research Funds for the Central Universities(30919013232)+4 种基金the Research Fund for Young Teachers of School of Economics and Management,NJUST(JGQN2009)Yudong Wang acknowledges the financial support from the National Natural Science Foundation of China(72071114)Feng Ma acknowledges the support from the National Natural Science Foundation of China(71701170,72071162)Yu Wei acknowledges the support from the National Natural Science Foundation of China(71671145,71971191)Science and technology innovation team of Yunnan provincial.
文摘A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility.To address this issue,we find a phenomenon,“momentum of jumps”(MoJ),that the predictive ability of the jump component is persistent when forecasting the oil futures market volatility.Specifically,we propose a strategy that allows the predictive model to switch between a benchmark model without jumps and an alternative model with a jump component according to their recent past forecasting performance.The volatility data are based on the intraday prices of West Texas Intermediate.Our results indicate that this simple strategy significantly outperforms the individual models and a series of competing strategies such as forecast combinations and shrinkage methods.A mean–variance investor who targets a constant Sharpe ratio can realize the highest economic gains using the MoJ-based volatility forecasts.Our findings survive a wide variety of robustness tests,including different jump measures,alternative volatility measures,various financial markets,and extensive model specifications.
文摘As a result of computer invention, especially the internet, changes have occurred in all walks of life in the global era including the marketing communication strategies which are inseparable parts of marketing and business. This intensifies the role of marketing communication in achieving business goals. Furthermore, the established and successful philosophy, strategy, technique, and theories of marketing communication in the past are now outdated and unfit for achieving wanted business goals in this information technology era. Besides, information technology inventions have changed people＇s lifestyle especially the global consumer attitude which is responsible for the commotion in today＇s implementation of global marketing communications strategies. This paper examines the implementation of ideas that are considered responsive to the changes of conditions in the past three decades and the future which are completely different with the past development and implementations. This paper illustrates the changes that have occurred in the implementation of integrated marketing communications studies. This paper supports the assumption that integrated marketing communications is considered the business strategy that is able to overcome the present and future global market era challenges
文摘In the year of 2006, China produced and sold over 7.2 million automobiles, representing a year-on-year growth of more than 25%. In this regard, China has become .the second largest market only to the U.S. for new autos. By the end of last year, the w total amount of autos owned by China stood around 40 million, and it was predicted that this figure would roar to 70 million 3 years later.
文摘Based on the long tail model,this paper assumes a new form of mutual change between producers and consumers and obtains a consumption and production economic model adapted to the modern market economy,and carries out practical verification of the model.The conclusion is that the main body of the future market economy will change from producers to consumers.
文摘Africa has traditionally been an important cotton production base.Before the textiles and clothing quota phase-out,cotton markets were mainly in Europe.In 2000,the 27 countries currently members of the European Union imported 1,077 million tons
文摘Ⅰ. Review the past of 1994 international shiPPing market: 1994 saw world economy begin a new cycle of boom. The economy of the West was on the way to a complete recovery, and that of East Asia was keeping up its steady growth. ACCOFding to the estimation 0f International Monetary Fund, the 1994 growth rate of world economy was 3％ and that of world—trade volume was about 5％. Thanks to these factors, the international shipping market had also Undergone considerable changes. 1. In 1994,world dry—bulk shipping market first sagged and thenstiffened. Affected by the negative growth of
文摘This paper presents the first formal comparison of Value at risk(VaR)forecasting perfor-mance across various high-frequency volatility models and conventional benchmarks using daily data in the crude oil futures market.Our analysis reveals the following key findings:(1)High-frequency data significantly enhance the accuracy of VaR forecasts.Specifically,the realized-GARCH(generalized autoregressive conditional hetero-skedasticity)model that incorporates 5-s realized bipower variation(BPV)outperforms all other models.(2)Not all realized measures are equally effective for VaR forecasting.The 5-s BPV model consistently outperforms other realized measures in forecasting VaR.(3)The choice of sampling frequency plays a crucial role in the performance of realized measures when forecasting VaR.(4)Many more sophisticated realized measures fail to surpass the simple 5-min realized variance(RV)model in forecasting VaR in the crude oil futures market.
基金supported by the National Natural Science Foundation of China[71873022].
文摘In March 2018,the US used an immense trade deficit as an excuse to provoke trade friction with China.This study uses the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trade friction on soybean futures markets in China and the United States.Results indicate that the Sino-US trade friction weakened the return spillover effect between the soybean futures markets in China and the US,and significantly increased market volatilities.As the scale of additional tariffs increased,the volatility of the Chinese soybean futures market declined;however,the volatility of the US soybean futures market did not weaken.In addition,expanding the sources of soybean imports helped ease the impact of tariffs on China's soybean futures market,while the decline in US soybean exports to China intensified the volatility of the US soybean futures market.In addition,while the release of multiple tariff increases has had a short-termimpact on the returns of soybean futures markets,the impact of trade friction has grad-ually decreased.
