Empirical Research On The Running Linkage Of Rape Oil Futures Price In China

Rape oil is the only vegetable oil supplied by the domestic market. Its price decides the interests of farmers and enterprises of oil industry, and relates to the stable supply of rape oil, too. It's of great significance to China's edible oil security. As the rape oil listed on Zhengzhou commodity exchange market(ZCE),the rape industry found way to avoid the spot price risk. Price discovery function can guide farmers and enterprises to organize production and business, besides, it provides reference information for government's intervention. The operation of futures price is important to measure the development level of the futures market,and determines the effectiveness of futures markets to the large extent.In this paper, quantitative research and comparative method are combined. Vector autoregressive models(VAR), Granger causality test, variance decomposition, cointegration and error correction model(ECM) are used to analyze the rape oil futures price. The writer try to assess the efficiency of rape oil futures price, indicating the operating conditions and the possible problems of rape oil futures. This paper expounds the central status of the price discovery function of futures market by clarifying related theory, then introduces the mathematical models. The paper uses empirical study to assesses the efficiency of rape oil futures price from three aspects.Based on the price discovery theory, this study assesses the price discovery function firstly. Taking the spot price of sales region into account, the study includes the futures price, spot prices of producing area and sales region to model, which demonstrates the relationship between spot prices of different areas and futures price for the first time. What's more, the writer separates time series to set two VAR model, in order to reveal the prices influence in pricing futures price over time. The second step is studying the relationship between rape oil futures price and other oil's. On this basis, constructs arbitrage strategy between rape oil and soybean oil and evaluate the effect. The third step studies the relationship between the rape oil futures price in China and the rapeseed futures price in Canada, showing the international influence of rape oil future on ZCE.The empirical study concludes the rape oil futures price play a dominant role in pricing, which means the price discovery function runs well. With the delivery storage set up in Sichuan and in advance of the time, the pricing influence of spot prices in the sales region has increased. Spot price doesn't guide the futures price. To further the futures price discovery function, the spot market should be developed. The rape oil has a major contribution in the three oil futures'pricing. The designed arbitrage strategy is conducted effectively. In addition, the rape oil futures price of ZCE runs independently, slightly affected by the international market. In the next development, China need to open market and expand influence.The research concluded the rape oil futures price running in good condition. Considering the status of rape oil in China's vegetable oil consumption and the health consumption trends in the future, the rape oil future has large development space, with greater contribution to avoid spot market risk and gain the international pricing ability. The future effective operation of rape oil futures price depends largely on two points:one is improve the spot market. The government should help foster large-scale enterprises with international competitiveness, which will be pricing leaders in the spot market. At the same time, the non-genetically modified species advantage should be highlighted. Through competitive differentiation, China explores the non-GM rape oil international pricing center.