The Spillover Effect of Agricultural Product Market Price Fluctuation Based on Fourier Analysis

Introduction

Agricultural product futures are the earliest futures. The main reason is that the price of agricultural products will fluctuate greatly under the influence of factors such as season and climate. The hedger can offset the profit and loss of other markets through the profit and loss of agricultural product market, so as to reduce the risk of market price fluctuation (Senakpon et al. 2018), (Yang et al. 2017). In recent years, the sharp fluctuation of the price of agricultural products has attracted wide attention all over the world. The price of both food crops and cash crops will be affected by many factors such as production, climate, society, economy and policy. The volatility is very large. The sharp fluctuation of the price of agricultural products is not conducive to the stable growth of farmers' income. After 2000, with the development of emerging market economies such as China and India, the consumption demand of agricultural products has become the main driving force of global basic consumption. The price of agricultural products will inevitably bring great risks to the operation of domestic and foreign agricultural enterprises. With the continuous progress of economic globalization, the financial crisis occurred frequently after the 1990s. Any partial economic crisis will soon expand to other markets, making the risk of price fluctuation greater. Therefore, it is necessary to reduce the market risk brought by price fluctuation through the hedging function of futures market Wang, (2017), (Hamid et al. 2017), Mishra (2017).

Volatility spillover effect refers to the mutual influence between different financial markets, and the market price fluctuation will be transferred from one market to another, which reflects the Granger causality between the second-order moments of yield conditions (Rudra & Saikat, 2017). The evaluation of tangential or spillover effects supports the hypothesis that knowledge spillovers are unlikely to occur amongst farmers in close vicinity to programme recipients, particularly within social networking sites. The lack of spillover effects supports the theory that financial crises are a key factor of technology acceptance among small - scale farmers in the Dominican Republic. In poor nations, agricultural initiatives may have partial mediation or spillover impacts, environmental health inefficiencies, and generalized linear consequences. The spillover effect of price fluctuation in agricultural products market may exist between different agricultural products markets or agricultural assets, such as soybean market, wheat market and integrated agricultural products market or agricultural products and other products. Due to the dynamic change of risk transfer intensity between different agricultural products markets or different agricultural assets in different periods, in addition to exploring the causal relationship between them (i.e., volatility spillover effect). They discovered that perhaps the real exchange and inventory market value have a two-way volatility beneficial impact. However, those other two-way disruptions are irregular to a certain extent, and therefore impact of exchange rate fluctuation on stock return volatility becomes less substantial than the effect of stock return volatility on exchange rate fluctuations. Own volatility spillovers are really a one-way causal connection among previous volatility shocks and existing variance in the very same marketplace. The term “cross volatility spillovers” refers to a one-way causal association involving historical volatility in one trends and competitive instability in the other. It is also necessary to use the correlation coefficient between different assets to see the degree of correlation between them in terms of quantity, so as to promote investors to make a better portfolio. In addition, when the markets are completely separated, due to the lack of linkage mechanism, the interaction between the markets is very weak, that is to say, the correlation is very small. Studying the dynamic correlation coefficient between the agricultural products market or the agricultural products assets can provide a basis for the judgment of the degree of market integration.