How Information is Transmitted Across the Nations? An Empirical Investigation of the US and Chinese Commodity Markets

How Information is Transmitted Across the Nations? An Empirical Investigation of the US and Chinese Commodity Markets

Zi-Yi Guo

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How Information is Transmitted Across the Nations? An Empirical Investigation of the US and Chinese Commodity Markets

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Abstract

This paper studies how information is transmitted across nations by focusing on three types of commodities: copper, soybean and wheat. The paper utilizes Johansen cointegration model, vector error correction model (VECM) and the generalized autoregressive conditional hetero skedastic model (GARCH) to investigate the price discovery and volatility spillover process of informationally-linked futures markets. The empirical results indicate that the models provide evidence to support the long-term equilibrium relationships and significant bidirectional information flows between copper futures markets in China and in the United States. Although innovations in one market can predict the futures volatility in another market, the volatility spillovers from U.S. futures to Chinese futures are more significant than the other way around. As for the soybean futures, there is a one-lag price transmission across markets, while no volatility spillover has been detected. As for the wheat futures, no information transmission is found across markets.

References

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Zi-Yi Guo. 2017. \u201cHow Information is Transmitted Across the Nations? An Empirical Investigation of the US and Chinese Commodity Markets\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 17 (GJMBR Volume 17 Issue C2).

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GJMBR Volume 17 Issue C2

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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Classification

GJMBR-C Classification JEL Code: C32; G12; G13

Submission ReceivedDecember 15, 2016
Peer Review Double Blind
Handling Editor
Accepted January 1, 2017
Published January 15, 2017

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v1.2

Issue date

June 13, 2017

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Article Matrices

Total Score: 131

Country: United States

Subject: Global Journal of Management and Business Research - C: Finance

Authors: Zi-Yi Guo (PhD/Dr. count: 0)

View Count (all-time): 177

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Publish Date: 2017 06, Tue

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Total Views: 3593

Total Downloads: 1620

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