The Research And Empirical Analysis On Seasonal Model Of Agricultural Commodity Futures Price

Seasonality is an important property of agricultural commodity futures prices. The seasonal analysis can help market participants to catch the trend of development and changes in prices, and it's a significant perspective of researching on agricultural commodity futures prices. This article studies on the applicability of the seasonality model with data in the Chinese agricultural commodity futures market, and analysis the relationship between seasonality and agricultural commodity futures prices.Firstly, this thesis introduces relative theories of futures pricing, reviews the development of a variety of models, and make a comparative of their performances. Secondly, we expatiate on the basic model, two factors model as well as the seasonality model developing from them. Then the Kalman filter methodology is used to estimate the seasonality model parameters for corn futures, soybean futures, and wheat futures based on weekly data for the period 2004.10–2008.04. The results show that Chinese agricultural commodity futures prices have significant seasonal features; peaks of the prices usually are reached in two to three months before the harvest, and the prices start to decline during the harvest, then after the harvest the troughs are reached. Finally, this article describes the application of seasonal agricultural commodity futures price model, and tests Kaldor-Working hypothesis through agricultural commodity futures prices'data in China.In a word, researching on the seasonal features of agricultural commodity futures prices can not only solve the pricing problem of the commodity futures, but also provide valuable information for hedging and investment decision-making. It has great theoretical and practical significance.