Recent years, global climate warming problem that puts severe challenges to the
survival and development of mankind. As the biggest developing country in the world,
China has also begun to seek the transform method in energy utilization pattern. The
13th Five-Year Plan focuses on the development of new energy sources and energy
conservation and protection emerging industries. With biomass fuels that are made by
agricultural products has become an important emerging alternative fuel of petroleum
products, which promotes the rising of demand for mainly agricultural products such as soybean and corn, and leads to rise price of these agricultural products. Meanwhile,
the volatility of price for petroleum-based fertilizers, pesticides, insecticides, farming
machinery can also lead to price fluctuations of agricultural products, which will
strengthen the co-movement between crude oil futures and agricultural commodities
futures. As the degree of global economic integration becomes deeper, the information
transmission effect between entity economy and financial market becomes remarkable,
which also increasing the interactive effect between international crude oil futures
market and the Chinese agricultural futures market.
The co-movement effect between two different futures market refers to the
internal communication mechanism of futures market, one of the market parameter
variations will cause the new parameter variation in other one or several related
market, and then become the mutual influence and interaction process in whole
market system. As the vast agricultural country in the world, how to stabilize the price
of Chinese agricultural products has become a matter of concern, and with the
increasing policy-based financial support for agriculture, rural areas, and farmers,
minimum purchasing price and reserve policy has become the country's fiscal burden
in recent years. But the excessive open-market mechanism will lead large volatility in
agricultural price, which has extremely damage in market mechanism. Due to separate
the formation mechanism and government subsidies of agricultural products, the only
oncrude oil futures will lead huge shock to Chinese agricultural. So it is of great
significance to study the interactivity of international crude oil futures and Chinese
agricultural futures market.
Because of the historical reasons and development features of Chinese futures
market, the research about co-movement between two futures markets is lack of
integrity, with the rapid development of our economy, the continuous improvement of
the capital market and the promotion of the position in the world, the correlation
between the futures market in domestic and abroad gradually enhanced which lead
more and more researchers begin to study this field. This article conduct research for
mean spillover effect (Information Transmission Mechanism) and volatility spillover
(Risk Transmission Mechanism) effect between international crude oil futures and
Chinese agricultural commodity futures, try to deepen the information transmission
mechanism and efficiency of information transmission mechanism among two
markets.
way leading to stabilize price of agricultural products is to improve the mechanism of
agricultural commodities futures market, meanwhile, the volatility from international.
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