Study On The Efficiency Of The Present Grain Futures Market In China

The grain production is always very important for our country, because it is related to people's basic life. Nowadays, in China, the grain cash market is gradually commercialized deeply, and the volume of business in grain futures market is expanding rapidly. Therefore, it is very meaningful to learn about the efficiency situation of China's grain futures market, research into the reasons that affect the efficiency and find some useful advices.Futures market is different from security market, so it is not proper to simply use the standard which is used to study the efficiency of security market to study the efficiency of futures market. In this paper, it's suggested that the futures market's function efficiency can represent the whole efficiency of the futures market according to the futures market's character. On the basis of this, the paper first summarizes the development and the present situation of China's grain futures market and then make a comment on the theories on the futures market's function. Second the paper takes an empirical analysis of the hedging function and price discovery function. The results suggest that the price discovery function of wheat futures market is by and large normal, but the corn futures market's doesn't work and the hedging function of both markets are invalid.Finally, on the basis of the empirical analysis's results, the paper analyses the factors from both futures market and cash market, which may affect the futures market efficiency. The factors from futures market include the unreasonable structure of the investors in futures market, the shortage of institutional investors, the shortage of option to hedge futures. The undeveloped grain cash market and the fact that state-owned grain enterprises can not use futures market freely are elementary factors that affect the efficiency of grain futures market. Then, the paper gives some advices to improve the efficiency of the grain futures market's function.