Multifractal Fluctuation Analysis of Correlations between Agricultural Futures Markets in China and the US Based on MF-X-DFA and MF-DPXA Methods

2021 ◽  
pp. 2250006
Author(s):  
You-Shuai Feng ◽  
Bao-Ming Cao
Keyword(s):  
Crude Oil ◽  
Futures Markets ◽  
The West ◽  
Oil Futures ◽  
West Texas ◽  
The Us ◽  
Agricultural Futures ◽  
Crude Oil Futures ◽  
Cross Correlations ◽  
The Cross

The fluctuation characteristics of the correlations between China and the US agricultural futures markets have attracted extensive attention from academic circles and government departments. As the main factor that affects the agricultural futures price, the impact of international crude oil futures price on the correlations of the Sino-US agricultural futures markets is also worth discussing. Therefore, this paper adopts the multifractal detrended cross-correlation analysis (MF-X-DFA) and multifractal detrended partial cross-correlation analysis (MF-DPXA) to explore the fluctuation characteristics of cross-correlations for China and the US agricultural futures markets before and after removing the West Texas Intermediate (WTI) crude oil futures price as well as the impact on the cross-correlations. The results show that the fluctuation characteristics of the cross-correlations and partial cross-correlations between the corresponding varieties of China and the US agricultural futures markets as well as among the varieties within the markets are multifractal. The cross-correlation behaviors and the cross-market risks are all affected to varying degrees by the West Texas Intermediate (WTI) crude oil futures. The West Texas Intermediate (WTI) crude oil futures weaken the cross-market risk of the Sino-US soybean futures, while strengthening the cross-market risk of the Sino-US corn and wheat futures. In addition, the impact of the West Texas Intermediate (WTI) crude oil futures on the cross-market risks among China agricultural futures is greater than those among the US corresponding agricultural futures.

Covariance breakdowns and connectedness of crude oil futures markets with non-synchronous data

2018 ◽  
Vol 51 (5) ◽  
pp. 422-443 ◽  
Author(s):  
Jiawen Luo ◽  
Langnan Chen ◽  
Weiguo Zhang
Keyword(s):  
Crude Oil ◽  
Futures Markets ◽  
Oil Futures ◽  
Crude Oil Futures

Trading volume and return relationship in the crude oil futures markets

2014 ◽  
Vol 31 (4) ◽  
pp. 426-438 ◽  
Author(s):  
Saada Abba Abdullahi ◽  
Reza Kouhy ◽  
Zahid Muhammad
Keyword(s):  
Crude Oil ◽  
Information Flow ◽  
Trading Volume ◽  
Futures Markets ◽  
Positive Relationship ◽  
Generalized Method Of Moments ◽  
Oil Futures ◽  
Content Type ◽  
Oil Markets ◽  
Crude Oil Futures

Purpose – The purpose of this paper is to examine the relationship between trading volume and returns in the West Texas Intermediate (WTI) and Brent crude oil futures markets. In so doing, the paper addresses two important issues. First, whether there is a positive relationship between returns and trading volume in the crude oil futures markets. Second, whether information regarding trading volume contributes to forecasting the magnitude of return in the markets, an important issue because the ability of trading volume to predict returns imply market inefficiency. Design/methodology/approach – The paper used daily closing futures price and their corresponding trading volumes for WTI and Brent crude oil markets during the sample period January 2008 to May 2011. Both the log volume and the unexpected component of the detrended volume are used in the analysis in other to have robust alternative conclusion. The generalized method of moments (GMM) approach is used to examine the contemporaneous relationship between returns and trading volume while the Granger causality approach, impulse response and variance decomposition analysis are used to investigate the ability of trading volume to predict returns in the oil futures markets. Findings – The results reject the postulation of a positive relationship between trading volume and returns, suggesting that trading volume and returns are not driven by the same information flow which contradicts the mixture of distribution hypothesis in all markets. The results also show that neither trading volume nor returns have the power to predict the other and therefore contradicting the sequential arrival hypothesis and noise trader model in all markets. Finally, the findings support the weak form efficient market hypothesis in the crude oil futures markets. Originality/value – The findings has important implications to market regulators because daily price movement and trading volume do not respond to the same information flow and therefore the measures that control price volatility should not focused more on volume; otherwise they may not provide fruitful outcomes. Additionally, traders and investors who participate in oil futures should not base their decisions on past trading volume because it will lead to profit loss. The results also have implications for market efficiency as past information cannot assist speculators to forecast returns in all the oil markets. Finally, investors can benefit from portfolio diversification across the two markets.

scholarly journals The Impacts of the Infectious Disease Epidemic on the Permanent Volatility of Precious Metal and Crude Oil Futures Markets: A Long-Term Perspective

2021 ◽  
Vol 2021 ◽  
pp. 1-12
Author(s):  
Yue Shang ◽  
Xiaodan Chen ◽  
Yifeng Zhang ◽  
Yu Wei
Keyword(s):  
Infectious Disease ◽  
Crude Oil ◽  
Precious Metal ◽  
Futures Markets ◽  
Commodity Futures ◽  
Mixed Data ◽  
Data Sampling ◽  
Oil Futures ◽  
Crude Oil Futures

The aim of this paper is to identify the quantitative impacts of the infectious disease pandemic on the permanent volatility of precious metal and crude oil futures from a long-term perspective by using a recently constructed Infectious Disease Equity Market Volatility Tracker (ID-EMV) to capture the epidemic severity and with a novel mixed data sampling GARCH (GARCH-MIDAS) method. Different from the extant literature only focusing on the short-term influences of the COVID-19 epidemic on commodity futures market, this paper shows that the infectious disease pandemic does have significant and positive impacts on the permanent (long-term) volatilities of precious metal and crude oil futures markets lasting for at least up to 12 months. In addition, these specific impacts on crude oil futures are greater than those on precious metal futures. Finally, we find that the infectious disease epidemic has larger impacts on gold (WTI oil) futures than those on silver (Brent oil) futures. All these findings are robust after controlling the negative influences of lagged long-run realized volatility in commodity futures markets.

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