摘要
Abstract
Cross-product and cross-border risk contagion between domestic and international commodity futures markets and stock markets is a key issue of concern for all parties.Based on strategic importance,production and consumption volumes,and the degree of marketization,this paper selects corn,a comparable commodity in China and the U.S.,as the research object.Employing the Diebold-Yilmaz(DY)index and the DCC-MSGARCH model,the paper investigates the short-term correlation between the U.S.and Chinese corn futures and leading Chinese corn stocks,as well as the short-term volatility spillover effect from the U.S.and Chinese corn futures to leading Chinese corn stocks from 2014 to 2023.The study finds that there is no significant short-term dynamic correlation between the U.S.and Chinese corn futures and leading Chinese corn stocks.In addition,there is no short-term volatility spillover effect from futures to leading stocks.This conclusion remains robust after differentiating between different states and market stages.Although there is a long-term linkage effect between domestic and foreign markets,the short-term linkage effect is insignificant.This is primarily attributed to substantial differences in trading systems,market liquidity,and participant structures between the U.S.and Chinese corn futures markets and the Chinese stock market.These differences weaken cross-market arbitrage,information transmission,and sentiment contagion mechanisms.This study provides empirical evidence for accurately examining and assessing the risk transmission from agricultural commodity futures markets to the stock market and for facilitating the coordinated and healthy development of China's agricultural commodity futures and the stock market.关键词
玉米期货/玉米龙头股/跨市场动态相关/波动溢出效应Key words
corn futures/leading corn stock/cross-market dynamic correlation/volatility spillover effect分类
管理科学
