Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures
研究了中美两国大豆、小麦、玉米和糖四种农产品期货在日间、隔夜、日内和滚动收益上的溢出效应，发现极端分位数下双向依赖更强，且美国对中国的影响略大，为投资者和市场效率分析提供参考。
This paper examines the daily, overnight, intraday, and rolling return spillovers of four key agricultural commodities—soybeans, wheat, corn, and sugar, between the U.S. and Chinese futures markets via a newly developed quantile dependence measure called quantilogram. The results reveal significant bi‐directional dependence between the two markets across commodities which is greater in extreme quantiles and moderately stronger from the United States to China. These findings offer valuable insights into investors’ behavior, market integration, dissimilarity, and market efficiency in both countries. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1231–1255, 2016