Linkage relationship between China and US futures market during trade friction: the case of soybean, soybean oil and soybean meal

ABSTRACT

Bean futures are an essential part of the futures market, and changes in the trading environment will influence their cross-boundary relationship. This paper examines the linkage relationship between soybean, soybean oil, and soybean meal futures in China and the United States under the influence of trade frictions based on the Error Correction model, which considers the long-term co-integration relationship and short-term price fluctuations. The findings indicate that before 2018, China and the United States had a two-way impact on soybean and soybean meal futures prices. While after 2018, China’s soybean futures prices are unilaterally affected by the US market. Sino-US trade friction has increased the independence of China’s soybean oil and soybean meal futures prices but left China’s soybean futures prices in a passive position.

KEYWORDS:

• Bean futures
• linkage
• error correction model
• trade frictions

JEL CLASSIFICATION:

• G15
• F30

Disclosure statement

No potential conflict of interest was reported by the author(s).

Correction Statement

This article has been corrected with minor changes. These changes do not impact the academic content of the article.

Additional information

Funding

This work is supported in part by the Technology and Innovation Major Project of the Ministry of Science and Technology of China under Grant 2020AAA0108402.