Empirical Properties, Information Flow, and Trading Strategies of China's Soybean Crush Spread

摘要

This study examines the empirical properties of soybean, soymeal, and soyoil futures prices at China's Dalian Commodity Exchange. We find that the three series are cointegrated, and that the cointegration relationship is characterized by significant seasonality and consistent time trends. Further, employing a new trivariate VAR-GARCH model, we find evidence of one-way information flow from the soymeal and soyoil markets to the soybean market, but bidirectional information flow and volatility spillover between the soymeal and soyoil markets. Trading simulations based on the mean-reverting tendencies of the cointegration relationship and 5-day averages of the commonly-used spread both generate positive returns. (c) 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1057-1075, 2016