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Title: The extreme risk spillovers between the US and China's agricultural commodity futures markets
Authors: Qiujing Zhu
Roengchai Tansuchat
Keywords: Physics and Astronomy
Issue Date: 14-Oct-2019
Abstract: © 2019 IOP Publishing Ltd. All rights reserved. In this study, we investigate the downside and upside risk spillover effects between the same kind of agricultural futures in the Chinese and US markets, taking the value-at-risk (VaR) and conditional value-at-risk (CVaR) as a risk measure, characterized and computed using copula-GARCH approach. We find evidence of a significant positive dependence between the US and Chinese agricultural commodity futures markets. And the empirical results also show that the existence of downside and upside risk spillover effects between variables, especially significant during financial turmoil periods. Market regulators and traders of agricultural futures will benefit by identifying tail dependence and extreme risk spillovers.
ISSN: 17426596
Appears in Collections:CMUL: Journal Articles

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