on chinas wheat and soybean futures market price discovery function of the empirical discussion（在中国的小麦和大豆期货市场的价格发现功能的实证讨论）.docVIP

On China’s wheat and soybean futures market price discovery function of the empirical discussion [Abstract] its price discovery function of futures markets and market mechanisms in the central position of the pricing information for the macro-and micro-economic activities, decision-making basis and reference China’s futures market is now entering a new period of development, research on the major commodity futures markets the price discovery function of great significance. This paper selects China’s commodity futures market, wheat and soybean futures prices two futures and spot price data, and a series of cointegration based econometric methods on two types of price between an empirical test showed that China’s wheat futures market does not have a price discovery function, while the soybean futures market has this feature. do further analysis of the two market performance of different reasons, and a complete run of China’s agricultural market-related mechanism policy recommendations. [Keywords] futures market, price discovery, cointegration analysis, agricultural futures Futures market is the modern market economy, an important part, through the cooperation with the spot market, it can be achieved on the market for efficient allocation of scarce resources for the important role of futures markets is generally believed that the price discovery and hedging with the basic functions, price discovery function is its basic function, left the price discovery function, the hedging and speculation as the main form of risk re-distribution function will not be able to achieve. The establishment of China’s futures market late, but two decades has also time, the operating mechanism has matured and developed futures markets, the functioning of China’s futures market, there are more on the lack of functioning of China’s futures market, the problem is important, therefore, this paper, wheat and soybean futures as the starting point to study the price discovery function of