Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures

Huayun Jiang · Jen‐Je Su · Neda Todorova · Eduardo Roca

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

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

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References

2013International Stock Return Predictability: What Is the Role of the United States?2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series 2015Tail risk premia and return predictability 2009The extremogram: A correlogram for extreme events 2007The quantilogram: With an application to evaluating directional predictability 2004Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico 2000Trading and Returns under Periodic Market Closures 2012Jump tails, extreme dependencies, and the distribution of stock returns

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