Empirical Analysis Of The Soybean Futures Price Formation Mechanism

Nowadays the futures industry has been growing fast as well as the innovation of finance. All these facts offered precious experience to be used for reference to what happened in our country's futures market. With the WTO entrance, China's futures industry has developed to a new stage by controlling and reconsolidating during the past few years.Commodity futures price is an expected price, which will reflect the relation of supply and demand in spot transactions for the future. Whether the forming mechanism is valid or not can be proved when the futures market acted. This paper started with the theory of commodity futures price, discussed its characteristic and forming mechanism, analyzed the main factors which effected the forming mechanism of the futures price and referred to some returns which acquired by academic authorities before. Then the paper paid attention to do the qualitative and quantity analysis in order to find out the main factors of price forming mechanism of the soybean futures in Dalian Commodity Exchange(DCE). It used mathematical statistics and econometrics as methods to do a statistical analysis and contrast many factors such as the supply and demand situation of soybean, the relation between futures price and spot price, the spread of far and near contract, the comparison of soybean futures price between DCE and CBOT. Via the research of basis trading and spread fluctuating regulation in DCE, we can know the efficiency about the futures market and prove its validity to the forming of soybean futures price. It also contrasted these things with CBOT which has been an old-line mature futures market. Finally, it chose some influential factors to soybean futures price as variable and built up its multi-regressive model so that we can explain the cause of formation. It also did a further study on the variables in the model by factor analysis.Both of the two methods got the same result that the key factor, which effects the futures price of DCE, is the soybean futures price of CBOT and its domestic spot price.