Study On The Identification Of Speculative Factors And Countermeasures In The Formation Of Grain Futures Prices

In recent years there are emergences of sharp fluctuation in food prices world-wide, as the economic fundamental of a country—food the changes in whose prices attract a large number of community concerns naturally, and as the based on spot prices of food prices, grain futures prices, the change of which is cause for concern. Studies have shown that the fluctuations and speed of food prices are influenced by the important trading groups in futures markets, that is, the trading futures speculators, So this article from the point of view that the formation and volatility changes characteristics of the grain futures prices to identify speculative factors generated by futures speculators, based on behavioral finance theory, to analyze its effects on the formation of changes in futures prices, and to put forward policy recommendations for different decision-makers. First of all study the formation and changes of grain futures prices combined with own properties of time series, use the models derived from ARCH family, and empirical study of GARCH and EGARCH, the results show that fluctuations in the price time series has the characteristics of "fat-tail rush," "cluster" and "leverage effect", analyze its causes to have that, at this stage of China grain futures market speculators have irrational speculation features, namely the existence of the cognitive bias in investment process, resulting in irrational investment, impact the pricing performance of food products. Make empirical analysis based on this research and behavioral finance theories to prove that futures market futures speculation has anchored and framed deviation, and to found that at the present stage in China grain futures market futures speculation trading increased volatility and speed of futures prices. Taking all these studies, we can see that there is cognitive bias of futures speculation in Chinese grain futures market of the existence of futures, this speculation factor impact on the fluctuations and speed of futures prices directly, therefore the building of our grain futures markets is also to be improve, the government referencing the price of the futures market and hedge enterprises and individuals participated in the participating in the grain futures market should fully take the impact of speculative futures into account, judge the situation of price fluctuations calmly , and make the right decisions when reference to use the futures prices in the long-term predictability, the price adjustment mechanism and other functions.The full text is divided into five chapters:The first chapter, Introduction: First of all, introduced the positive purpose and the significance of thesis topics combined with the realities background of the fluctuations of the current international food prices; Secondly, made content summary for status quo of academic studies at home and abroad related to this topics. Finally, the study described the content and study ideas in this article and pointed out the expected innovation and implementation feasibility of this paper.Chapter II, the theory research of speculative futures: First of all, define the concept of futures speculation according to the characteristics of speculation in futures markets, analyzed the differences between speculation, hedging and gambling as well as the classification of futures speculation, pointed out that speculation is a futures price spread speculative trading based on the futures market risk, by virtue of the judge of price changes in the futures market, for the purpose of profit spread of futures market. Secondly, according to the risk characteristics of speculative futures, trading characteristics and the purpose of profit, analyzed their role and impact to price fluctuations and the steady development of futures market from both positive and negative direction. Finally, preliminary analyzed the impact of major cognitive bias on speculative futures which created irrational speculation, in order to provide the theory support for following evidence.Chapter III, Analysis of grain futures prices mechanism in our country: First of all, analyzed the factors that impacted fluctuations of the grain futures prices from both objective and subjective. Secondly, the combined with the fluctuations characteristic of futures food prices, that is, the clustering of volatility can be referred to as the "cluster", the probability of occurrence in the tail is higher than in the "fat-tail peak" characteristic of characteristics expectations according to normal distribution, "leverage effect" that bad news impact volatility of more greatly than good news on the same size of the market and relevant "spillover effects" that existing in the volatility of the futures market, and describes the conventional model and the ARCH series models verified the characteristics above. Finally, made use of the derived model of ARCH model, GARCH model and EGARCH model to make empirical analysis of grain futures prices over the time series characteristics, and found that the investment behavior of speculators was in line with the study of behavioral finance theory, that is, there are cognitive bias in speculation and non-rational characteristics leading to irrational investment, disrupting price volatility.Chapter IV, Empirical research on speculative factors in the formation of grain futures prices: Choose the regression line method to set model in order to study the correlativity between investor sentiment and the market return rate of history, as well as the correlativity between both the rate of price changes and the standard deviation and rate of trading volume change, Positive futures speculators to verify the existence of Chinese grain heuristic cognitive bias and cognitive bias to rely on box set, that is, anchor yield patterns of behavior for speculators in the history return rate, formatted the positive and feedback mechanism when forecasted on the future, at the same time, dramatic changes in the process of increasing yield inhibited the bullish sentiment of municipal revenue, and mitigated the market pessimism while the down process. Confirmed the behavioral cognitive bias in this speculation from the perspective of behavioral finance by evidence, which led to fluctuations in the price of "cluster", "sustainability" and "leverage effect" characteristic in the price fluctuations, and might also amplified the possible negative effects of "abnormal speculation" and "excessive speculation" , increased the speed and fluctuation range of grain futures prices in our country ,which is not conducive to the effect of price adjustment mechanism in futures market and the stable development of futures markets.Chapter V, conclusions, recommendations and outlook: First of all, this chapter summarized the full text, that is, the speculators'cognitive bias of speculation is widespread, which aggravated the range and speed of price volatility in grain futures market. Secondly, this chapter raised the respective policy guidance and investment advices to the government and relevant departments of the futures market, futures hedging and speculation in futures trading combined with the results of research in this article. Finally, described the innovation and vision of the full text, look for in-depth study of the impact of speculative in our grain futures market futures by further improvement of reform can be maintained after.