Research Article
A New Method for Setting Futures Portfolios’ Maintenance Margins: Evidence from Chinese Commodity Futures Markets
Table 4
Correlation coefficient matrix of futures contracts.
| | | Number 1 soybeans | Copper cathode | Cotton | Crude soybean oil |
| | Number 1 soybeans | 1.0000 | −0.2493 | 0.0028 | 0.0014 | | Copper cathode | −0.2493 | 1.0000 | −0.0076 | −0.0032 | | Cotton | 0.0028 | −0.0076 | 1.0000 | 0.0062 | | Crude soybean oil | 0.0014 | −0.0032 | 0.0062 | 1.0000 |
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