This paper investigates risk spillovers between US and Chinese agricultural futures markets under asynchronous trading and evaluates the driving role of US-China tensions.
We apply the R2-decomposed connectedness framework to measure contemporaneous and lagged multi-layer spillovers between the two markets, and use a GARCH–MIDAS model to assess the impact of the news-based UCT Index.
The main findings are threefold. First, contemporaneous connectedness between US and Chinese agricultural commodities is the dominant component, while lagged connectedness (asynchronous trading and delayed adjustment) remains economically important, and US agricultural commodities are a persistent net transmitter at all layers of the risk network. Second, UCT has a significant state-dependent influence on the systemic risk of these agricultural commodities and becomes a strong positive driver in high-UCT regimes. Third, a minimum connectedness portfolio based on R2 decomposition achieves more effective risk-adjusted performance than portfolios built on traditional connectedness models.
This study helps to clarify the complex pattern of risk transmission and price discovery between the two markets and provides practical tools for measuring and managing risk spillovers and market vulnerability.
