Multifractal Cross-Correlations Between Grain Futures and Spot Markets in China
Taking the futures and spot prices of soybeans,corn and wheat in China as the research object,this paper applies the multifractal analysis methods including MF-ADCCA and MV-MFDCCA to explores the multifractal characteristics of cross-correlations between grain futures and spot markets in China.The empirical results show that the cross-correlations between grain futures and spot in China have multifractal and asymmetric characteristics,and the asymmetry degree of cross-correlations between grain futures and spot are distinct under different fluctuations.In addition,the cross-correlations between grain futures and spot systems in China are multifractal,and the overall risk contagion effect between the two markets is relatively weak.
NETL
NSTL
万方数据
