JOURNAL OF HEBEI UNIVERSITY (Philosophy and Social Science) ›› 2017, Vol. 42 ›› Issue (2): 103-109.DOI: 10.3969/j.issn.1005-6378.2017.02.015

• Original Paper • Previous Articles     Next Articles

Study on the Relationship Between SoybeanFutures and Soybean Oil Futures Prices——Basing on the Empirical Analysis of Dalian Commodity

LIU Li jun1，2, ZHAO Li san3   

  1. 1. School of Business, Agricultural University of Hebei, Baoding, Hebei 071001;2. School of Economics and Trade, Hebei University of Geology, Shijiazhuang, Hebei 050031;3. College of Management, Hebei University, Baoding, Hebei 071002, China
  • Received:2016-09-12 Online:2017-03-25 Published:2017-03-25

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Abstract: Soybean is the raw material of soybean oil. Does the change of soybean futures prices affect the change of soybean oil futures prices or vise versa? In this paper, a case study is given to analyze the construction of VAR model with the closing price of yellow bean No.1 and soybean oil in Dalian Commodity Exchange from Jan. 9th, 2006 to Aug. 4th, 2016. Through Granger causality test, variance decomposition analysis and impulse response functions, it indicates that the effects of the change of soybean oil futures prices on the change of soybean futures price are not obvious, while the change of soybean futures prices has obvious influences and high contribution on the change of soybean oil futures prices.

Key words: soybean futures prices, soybean oil futures prices, VAR

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