Abstract
The paper investigates the connection between two countries’ foreign exchange and futures market for soybean, DCE NO.1 soybean and CBOT soybean as the research object by using multifractal detrended cross-correlation analysis (MF-DCCA). Results indicate a significant multifractal cross-correlation among USDCNY and two country’s soybean futures. By contrasting the multifractality of the original series to processed series, we discover that the fat-tailed distribution serves as the primary cause for USDCNY-DCE sets while the long-range correlation explains the other. Our result shows that the soybean futures in China has a higher multifractality degree, but the fluctuation of exchange rate has a better pass-through effect on the price of US soybean futures’ market.
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