Multiscale Correlation Analysis of Sino-US Corn Futures Markets and the Impact of International Crude Oil Price: A New Perspective from the Multifractal Method
Finance Research Letters
; : 103691.0, 2023.
Article
in English
| ScienceDirect | ID: covidwho-2229943
ABSTRACT
Based on the multifractal method, this paper studies the dynamic characteristics of the cross-correlation between Sino-US corn futures markets after 2020 in the context of a series of exogenous shocks, and the impact of international crude oil prices on this relationship. We find that the cross-correlation significantly strengthened after 2020 at multi-time scales, but its uncertainty and complexity reduced. Besides, shocks of the crude oil market increase the cross-correlation at multi-time scales, which notably weakened after 2020. This suggests the Chinese government's interventions and regulations on the domestic grain market were effective.
Full text:
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Collection:
Databases of international organizations
Database:
ScienceDirect
Type of study:
Experimental Studies
/
Randomized controlled trials
Language:
English
Journal:
Finance Research Letters
Year:
2023
Document Type:
Article
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