Open AccessThe extreme risk spillovers between the US and China’s agricultural commodity futures markets
Author(s) -
Qiujing Zhu,
Roengchai Tansuchat
Publication year - 2019
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1324/1/012085
Subject(s) - cvar , futures contract , downside risk , economics , spillover effect , value at risk , copula (linguistics) , expected shortfall , financial economics , tail risk , agriculture , hedge , tail dependence , empirical evidence , commodity , econometrics , risk management , finance , microeconomics , portfolio , ecology , philosophy , statistics , mathematics , epistemology , multivariate statistics , biology
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.