Abstract Based on the multifractal theory, this study explores the operation characteristics and cross-correlation characteristics of the four agricultural commodity futures prices for wheat, rice, corn and soybean at home and abroad. The results show that although the international and domestic agricultural commodity futures prices have all risen since 2020, there are significant differences in the internal operation mechanism of domestic and foreign market prices; Since 2020, the multifractal characteristics of the four international grain futures have been enhanced more or less, while the multifractal strength of the domestic market has been significantly weakened; The multifractal strength of cross-correlation between domestic and foreign markets has also decreased, but the decrease of soybean is slight due to the still high import dependence; The complexity of cross-correlation between domestic and foreign markets has decreased, and the cross-market risk has reduced, which can effectively reduce the cost of risk early warning and decision-making.
YANG Jie,FENG Yun,YANG Hao. Research on the Four Agricultural Commodity Futures Markets Based on National Food Security under the Impact of Extreme Events[J]. Chinese Journal of Management, 2024, 21(1): 96-.
