Extreme risk spillovers between live hog and feed ingredient futures in China

The increasing integration of agricultural commodity markets and growing external uncertainty have made risk transmission along China’s hog–feed supply chain an important issue for agricultural risk management. This study investigates the tail-risk spillovers between China’s live hog futures and five major feed futures (No. 1 soybean, No. 2 soybean, soybean meal, soybean oil, and corn) using daily data from January 2021 to July 2025. The quantile Granger causality test, the Multivariate Multiple-Quantile Conditional Autoregressive Value at Risk (MVMQ-CAViaR) model, and quantile impulse response analysis are employed to examine cross-market dependence under extreme market conditions. The results show that significant tail dependence exists between live hog and feed futures, with spillover patterns varying across commodities and quantiles. The MVMQ-CAViaR estimates reveal heterogeneous and state-dependent cross-market interactions. Subsample analysis indicates that the Russia–Ukraine conflict altered the pattern of tail-risk transmission rather than uniformly strengthening spillovers across markets. Quantile impulse responses further show that feed-market shocks generate short-run responses that gradually converge to equilibrium. These findings provide new evidence on tail-risk transmission within China’s hog–feed futures system and offer implications for agricultural risk management and futures market regulation.