Multifractal analysis of the impact of US-China trade friction on US and China soy futures markets

摘要

We investigate the impact of the 2018 US-China trade friction on the multifractality of soy futures markets. Using DMCA and MFDMA methods, we study the cross-correlation coefficient of soy futures markets, and analyze the multifractality and origins of multifractality before and during this trade friction. We find: (a) The cross-correlations coefficients decrease significantly during the trade friction, and different trends of cross-correlations are found. (b) The singularity widths of all soy futures markets and the cross-correlations decrease during trade friction; whilst the generalized Hurst exponents of all series experience significant increases, especially for large fluctuations. (c) The finite-size effect and the fat-tailed probability distributions can explain the major decrease in multifractality. Comparing the period before, soy futures markets became less correlated, less multifractal and more persistent during this trade friction. The evidences suggest that as the tariff on soy was put into effect, investigators in two countries may take different hedging behaviors and be more risk averse. (C) 2019 Elsevier B.V. All rights reserved.