Dce Soybean Futures Basis Empirical Analysis

Following the recovery of global economy and the development of China's economy, future market being the important component of financial market has been paid more attention in national economy. After China joins in WTO, according to the schedule, the agriculture of China will also have to open to the world and accept assaulting and challenge. How to strengthen the competitiveness of the agriculture has been paid close attention all the time, the function evading market risk of future market comes out more conspicuously. Abroad, hedge is extensive to be used to evade the price risk of agricultural products and basis trade is utilized to control the risk of hedge further to guarantee income. In China, since future market was established, it has been adjusted constantly, in the progressive market, how more better to utilize hedge tactics to evade market risk? The author of the paper tries to think about basis as a piece of breach.This paper selects the soybean futures of the commodity exchange of Da Lian as the research object and analyses the development of soybean spot market and future market first. The output and demand of Chinese soybean have greater and greater impacts on soybean market in the world. Though the soybean future market in China has definite function to find price, trade risk of the market is much bigger than the ripe market-CBOT, which does not qualifies for using the basis trade tactics.Because the fluctuation of basis is the decisive factor of hedge tactics, we can get past the study on it to evade the risk. According to the Parallelogram rule which can realize perfect hedge, considering the plus-minus of the basis, if utilizing selling or buying hedge tactics, so long as the basis increased or reduced, it would make profits. After analyzing the influence factors of basis, the paper utilizes several variables to make model of basis, including the soybean futures price of the commodity exchange of Da Lian and CBOT, the average soybean spot price of Hei Longjiang province, the soybean spot price of USA, exchange rate and terminating-day data. Linear regression model indicates that the lag factor of basis and the basis of CBOT is the most important factor for the basis, exchange rate and...