The Spillover Effect between Futures and Spot Price of Agricultural Products:A Case Study of Soybean Products of China

Taking soybean products as an example and using the daily price data of 2007-2015,this paper established the error correction model and BEKK-GARCH model,and made an empirical study on the spillover effect of futures and spot price of agricultural products of China. According to this study,there were mean spillover effect and two-way volatility spillover effect in futures and spot price of soybean,soybean oil,and soybean meal; soybean futures prices significantly guided the spot price; in the price linkage between the types,the price relationship between the soybean meal and soybean was closer than between the soybean oil and soybean.

Forecast on Price of Agricultural Futures in China Based on ARIMA Model

The forecast on price of agricultural futures is studied in this paper. We use the ARIMA model to estimate the price trends of agricultural futures,which can help the investors to optimize their investing plans. The soybean future contracts are taken as an example to simulate the forecast based on the auto-regression coefficient(p),differential times(d) and moving average coefficient(q). The results show that ARIMA model is better to simulate and forecast the trend of closing prices of soybean futures contract,and it is applicable to forecasting the price of agricultural futures.

Analysis on the spatial pattern and evolution of China's petroleum trade under the dual effect of international oil price and “Belt and Road” Framework

“Belt and Road” is the important origin of oil import in China. Based on social network analysis and stochastic frontier gravity model, this paper studied the characteristic evolution and influence factor of oil import network between China and “Belt and Road” countries. Then by constructing a stochastic frontier gravity model including the crude oil future price and oil importing price, it found that the international crude oil future price, the oil importing price, the political situation, the trade agreements have the effects on the China's oil import from “Belt and Road” region. It provided suggestions for improving the spatial pattern of China's petroleum trade.

The Hope Project:the Future Has a Price

The Hope Project has made a difference to the lives of many chldren in China..This magazine has also received a large number of inquiries from overseas readers.and,to answer their questions,we bring more informa-tion on the Hope Project in the following outline.Readers can contact the Hope Project directly,and China I oday will also be happy to answer reader inquiries.

Investigating seasonality,policy intervention and forecasting in the Indian gold futures market:a comparison based on modeling non‑constant variance using two different methods

This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in the physical form.The trade of gold futures relates to seasons,festivity,and government policy.So,the paper will discuss seasonality and intervention in the analysis.Due to non-constant variance,we will also use the standard variance stabilization transformation method and the ARIMA/GARCH modelling method to compare the forecast performance on the gold futures prices.The results from the analysis show that while the standard variance transformation method may provide better point forecast values,the ARIMA/GARCH modelling method provides much shorter forecast intervals.The empirical results of this study which rationalise the effect of seasonality in the Indian bullion derivative market have not been reported in literature.

Impacts of CME Changing Mechanism for Allowing Negative Oil Prices on Prices and Trading Activities in the Crude Oil Futures Market

This study investigates and compares the effects of the Coronavirus disease 2019(COVID-19)pandemic,the Chicago mercantile exchange(CME)'s negative price suggestion on prices and trading activities in the crude oil futures market to discuss the cause of negative crude oil futures prices.Through event studies,the empirical results show that the COVID-19 pandemic no longer impacts crude oil futures prices in April,2020 after controlled market risk,while the CME's negative prices suggestion can explain the crude oil futures price changes around and even after April 8,2020 to some degree.Moreover,this study uncovers anomalies in prices and trading activities by analyzing returns,trading volume,open interest,and illiquidity measures using vector autoregressive(VAR)models.The results imply that CME's allowing negative prices strengthens the price impact on trading volume and makes illiquidity risk matter.This study's results coincide with the following lawsuit evidence of market manipulation.

How did high temperature extremes in southern Xinjiang,China induce the repaid rise in jujube futures prices in the summer of 2021?

In the summer of 2021,southern Xinjiang,China,experienced a temporary period of high temperature extremes.Because of this weather event,jujube futures prices rose by more than 50%in a short time.To clarify the influence mechanism of these two events,we investigated the current status of jujube farming and collected investors’online comments.We analysed these comments specifically using textual analysis tools,such as co-word networks.Results showed that the concerns of investors about the reduction in jujube production triggered by high temperature extremes were the primary reason for the rapid rise in jujube futures prices.Especially in combination with the cultivation density of jujube and their adaptability to the growing environment,a new understanding can be obtained.That is to say,when a crop is excessively densely cultivated in a region and is highly sensitive to a meteorological variable anomaly at a certain growth stage,a less destructive local extreme weather event could induce severe panic among investors regarding production reduction and thus influence the normal changes in futures price.In response to the impact mechanisms revealed in this study,we proposed policy recommendations,such as strengthening the degree of crop damage disclosure and designing weather futures derivatives,to address similar situations in the future.This study not only fills the gap in the research on the impact paths of high temperature extremes on jujube futures prices but also has a reference value for securing the stability of futures prices of related agricultural products in the future.

Causality of Future and Spot Grain Prices Between China and the US:Evidence from Soybean and Corn Markets Against the Surging Import Pressure

As the boom of the world grain market phases out, the challenge for Chinese government has gradually moved from retarding grain exports to restraining imports. This study tries to examine the causalities of soybean and corn price movement among the United States(US) future market, Chinese domestic future market and Chinese spot markets. We find that the daily prices of all these three types of grains belong to I(1) series, and there are long-run integrations. Also Chinese soybean future prices adjust more quickly than its spot prices, while Chinese corn future prices adjust slower. This paper finds that the soybean price movement originates from the US future market, then passes through Chinese future market, and finally reaches Chinese spot market, while the corn price movement starts in Chinese spot market, then spreads to the future markets in both China and the US.Finally, this paper also provides some policy implications on how to release the pressure from the grain imports.