Price Leakage And Volatility Tranmission In Domestic And Foreign Grain Futures Markets

The effective supply and stability of grain markets are not only the basic conditions to realize the rapid development of national economy, but also the important guarantee to ensure the security of the state. Well-known, China is a large country of grain, the production and consumption of grain in our country have always been in the forefront in the world.China has the material base to become the world food prices center.In recent years, as for the economic development in our country, the progressive open and dependence between countries arise of the domestic financial market, domestic futures market appeared bigger wave motion, and market meet more risks including grain commodities futures. The price fluctuation has become one of the main risks that food problem face.As one of the main grain manufacturing countries, what role can China play in the international grain market for the right of price establishment? Can the grain prices between domestic and internaltional markets be transferred effectively? The main purpose of this research is to investigate the relationship between China 's and international grain futures markets, including the co-integration relationship and the analysis of price fluctuation transmission of the prices. The long run equilibrium between domestic and international grain futures markets and in this paper we use co-integration technique.In order to analysis the price leakage and volatility tranmission in grain frutures markets, bivariate EGARCH model is applied in this paper.By analysis of the grain futures markets,we draw four conclusions: (1)The grain futures markets between domestic and international have relevance. The correlation coefficient between soybeen prices is 0.957. The correlation coefficient of corn and wheat are 0.785 and 0.404. (2)There is a co-integration relationship between domestic and international grain futures markets. The soybean futures prices have a high level cointegration relation, and the wheat and corn futures also have a cointegration relation between domestic and international futures markets. The information of prices between the markets can be passed quickly. (3)The grain prices between domestic and international futures markets be transferred effectively to each other.On the whole, the international soybean futures market has more effect on the prices than the market in our country. As our government conduct policy adjustments on corn and wheat, the international markets limite impact on the futures markets in our country. (4) The ability to capture the e-modification terms between domestic and international grain futures markets, the international market plays well in the soybean futures markets, and the domestic market plays well in the wheat and corn futures markets. (5)The futures markets in China have gradually been perfected, and the priceing power of grain futures gradually increase, but China hasn't be the right of price establishment in the international grain market.