| It's well known that future market makes important function in leveling off commodity price fluctuation and adjusting the relation between supply and demand, because of it owns the price discover and risk hedge functions. Thereinto, price discover is the core. DCE's soybean contract has become star future contract of china since traction. At present, DCE has become the No.1 soybean future market of Asia, the No.2 soybean market of world. Future price of DCE has become the authoritative price in domestic market and the representative price in international sale region. But China's future market is a developmental market, It is very important how price discover make the function.This article firstly reviews temporary document of price discover and defects. The empirical research is coming in two aspects. One apply VAR model, cointegration theory, Grange test, impulse response function and variance decomposition to test the degree of relation between two markets, the other utilize ARCH model tests the feature of future price fluctuation.The result of empirical indicates that future price discover basically exert the function Meanwhile, the soybean future price responses very slowly to innovation which comes from commodity market, future innovation critically influences on whatever the future price and commodity price, the future price discover is preponderant status. Future price fluctuation is not normal distribution, the feature of auto-regression is greatly prominence and news unbalance and investment unrealized.The innovations of this article present in three aspects:Firstly, author tests the price discover from the future price fluctuation itself, which makes up for the defect that the former study only focus on the cointegration between future price and commodity price, which reflect on the developing future market 'price feature. Secondly, the author introduces the impulse response function and variance decomposition that illustrates greatly the circs between soybean future price and commodity price. At last, author analyses the ingredient that obstacles the future price discover function, and puts forward improving suggestion. |
PDF Full Text Request