Open AccessStudy on the cross-correlation between two country for soybean futures price and exchange rate
Author(s) -
Peiyan Hua
Publication year - 2021
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 - 10.1088/1742-6596/1774/1/012003
Subject(s) - futures contract , multifractal system , econometrics , futures market , economics , correlation , range (aeronautics) , mathematics , financial economics , fractal , engineering , mathematical analysis , geometry , aerospace engineering
The paper investigates the connection between two countries’ foreign exchange and futures market for soybean, DCE NO.1 soybean and CBOT soybean as the research object by using multifractal detrended cross-correlation analysis (MF-DCCA). Results indicate a significant multifractal cross-correlation among USDCNY and two country’s soybean futures. By contrasting the multifractality of the original series to processed series, we discover that the fat-tailed distribution serves as the primary cause for USDCNY-DCE sets while the long-range correlation explains the other. Our result shows that the soybean futures in China has a higher multifractality degree, but the fluctuation of exchange rate has a better pass-through effect on the price of US soybean futures’ market.