Author(s)

Haixia Wu, Yan Ge

Corresponding Author

Haixia Wu

Abstract

Based on the daily data of international crude oil futures, corn futures on the China’s Dalian Commodities Exchange and the China's corn cash prices between June 1, 2010 and May 6, 2014, employing single variable EGARCH model and multivariables asymmetric BEKK-MVGARCH model, this paper empirically examines the prices volatilities asymmetry effects in one of markets and among markets. The results show that in terms of the single market, the volatilities caused by information of prices decreases on crude oil futures market and corn cash market are greater than the ones caused by the information of prices rises. On the contrary, for corn futures market, the volatilities caused by information of prices increases are greater than the ones caused by the information of prices decreases. In terms of multi-markets, the negative shocks to corn futures market from corn cash market are more obvious than positive shocks, however, the positive shocks to corn cash market from corn futures market are more significant than negative shocks, just as they are from crude oil futures market to corn cash and futures markets.

Keywords

Crude Oil Futures, Corn Futures, Corn Cash, Asymmetry