The Research Of The Prices Of China's Agricultural Commodity Futures And Functions Of Futures Markets

China's agricultural commodity futures markets have come through thirteen years. More and more enterprises , individuals and institutional invertors join the futures markets now, the aim of the creation of futures markets is to provide a mechanism for hedging risk in spot markets. To a great extent, the efficiency of futures markets determines whether it can fulfill its functions. The thesis verifies the long efficiency of two China's major agricultural commodity futures prices, then analyzes the long connection between futures prices and spot prices of two varieties in exchange. Based on works above all, the thesis compares results of positive analysis with what is going on in real markets, proceeds to verify the results of positive analysis, the thesis brings forward some advice in order to reform and perfect the China's agricultural commodity futures markets.The first two chapters in this article investigates the unbiasedness hypothesis of futures prices in China's agricultural commodity futures markets. Cointegration techniques, employed to examine this hypothesis, indicates that soybean futures prices of one, two, three and four months away the last trading day while wheat futures prices of one and two months away the last trading day are unbiased forecasts of the realized spot prices, whereas biases exist in the five and six months soybean futures prices and three months wheat futures prices and spot prices. There are no conintegrations between spot prices and four, five and six months' wheat futures prices away the last trading day .The third chapter compares results of positive analysis with what is going on in real markets, proceeds to verify the results of positive analysis.In the last chapter of this article, it gives some advice to enhance the development of the China's agricultural commodity futures markets.