An Empirical Research On China's Agricultural Futures Pirce Discovery Function

China is a large agricultural country, in whose foreign trade agricultural trade has played a very important role, and agriculture is the foundation of our national economy. Agricultural futures market is an important part of the agricultural market,through hedging it can shife the commodity price risk,find reasonable expected competitive prices,adjust spot prices of agticultural products and thus stabilize the long-term relationship between supply and demandAfter dewelopment and specification of years,the excessive speculation has been suppressed gradually,the fuction of price discovery highlight gradually,the leading role of the price of domestic products and macroeconomic trends emerged..Futures market can whether play the role of price finding fully,has been our subject of study.The study of price discovery of the futures market is also the issue of futures market participants. As the existence of internal factors,such as the special market structure and trading mechansims,an effective futures market will form the expection of spot market prices,thus provides important information for predicting market and realizing the potential risks.The paper introduced agricultural commodities market situation and the meaning of the research of agricultural products price discovery function and the frameworkof the paper,and then introduced the theory of the price discovery function of futures markets,including the concept of price discovery and mainstream theory,then described the research situation of the effectiveness of the futures market,including foreign and domestic research situation.. And then we introduced the theories of the study of price discovery of futures market,including the unit root test,cointegration test,error correction model and impulse response and variance decomposition.The paper selectd soybeans,soybean meal and corn as objects,not only study the price discovery function to their respective spot prices,but also study the correlation and leading relationship among theirselves.The experiment results show that there is a long-term stable relationship between soybean futures and spot,between soybean meal futures and spot,between corn futures and spot,and soybean futures and corn futures prices respectively guide their spot price.There is a bidirectional causal relationship between soybean meal futures price and spot price,but the leading strength of soybean futures is stronger than the spot price. All these illustrate the three futures markets have certain price discovery function. And there are strong correlation and bidiectional causality between soybean futures and corn futures.There is some correlation between soybean futures and soybean meal futures,but the degree is not strong,and there is no correlation between soybean meal futures and corn futures.Finally,we give some recommendations about the development of China agricultural futures markets.