The Empirical Analysis About The Price Discover Function Of Sovbean Futures Market Of China

As the high development speed of world ecnomic, good futures market take a more prominent place as flowing of the international financial capital, so the function of price discovery on this market together with its hedging function pay an important role on the healthy and thread development.Futures market and spot market coexist in the morden economic market system, the foemer come from the latter, and both of them promote each other.The international futures market already have more the150years history, compared chinese futures market has a late start and still belong to the emerging markes, so there are series problems such as unstrict supervision and inefficient of its market regulation and functioning.China is a large agricultural country, and agriculture is the pillar industy of our national economy, also its products take a key position is China’s commodity circulation, as long as the agricultural futures is the first kind of commodity material of international futures market, so it has a special significance of doing reserch on the agricultural futures market which is represented by soybean.The content of this paper is about the price discover function of sovbean futures market of China by empirical analysis, including the analysis of its existence as well as its efficency.Specifically, the paper first reviewed the research literature of price discovery, make an analysis of the results and commonly used research methods which are already existed by scholars in and abroad, so as to understand their research level and its shortcomings, also made the basis of this study.Secondly, the second part of the article is about the theoretical analysis of futures markets’price discovery function, this paper mainly analysised from three aspects:the meaning of futures markets’price discovery function;the mechanism of the price discovery function;and factors which pay effect on futures markets’price discovery function, analysis price discovery function together with equilibrium price and its prerequisites as well as the causes of it, leads to three kinds of theorhies on mechanism of price discovrery function:rational expectations, spider web and holding costs, also analysised the factors which affect price discovery function from both futures market itself and spot market also;the next part of this paper is mainly about the impact factors of the soybean futures market price discovery function on the basis of theoretical studied before, this part started from the status of soybean spot and futures markets domestic as well as international, analysised the factors affected on its price discovery functions in statistical way, the fourth chapter of this paper is empirical research, analysised the close level between prices of chinese soybean spot and futures market in the way of Johansen test. Granger causality test、the response functions and varicance decomposition, this section can be divided into two parts, one is about soybean prices between spot market and futures market domestic, another is about the soybean prices between international futures market and domestic futures market, the former mainly studied if there is a price discovery functions in domestic soybean futures market as well as its efficiency, and the latter is about the level how price discovrery function of chinese soybean futures market depended on the international one;finally, on the basic of theoretical study before as well as the result of empirical test, this paper make a summary of all and give policy recommendations on promoting the effiency of price discovry functions in chinese soybean futures market.There are three main conclusions of this paper, first, in the long term of chinese soybean futures market really exists the price discovery functions, and between the mutual realations of domestic soybean spot and futures prices, the latter have more a explain and leading effect to the former, although the spot price also have some that role, we can find the futures price shows a greater role by comparing the coefficient of mutual explanation between them;second, soybean futures market domestic plays a leading role in the price discovery functions overll, this part mainly use the way of impulse response and variance decomposition to analysis the interpretation and contribution between eachother, the results showed that the price of chinese soybean futures market take a dominant explatation proportion in the decision of its spot market price in the long term, futures prices guiding spot prices is the mainly performance style, it means, among the overall price discovery functions of chinese soybean market, futures prices has played a leading role and status. Third, chinese soybean futures price deeply depend on its inernational futures price, this result is mainly from the second part of empirical analysis, especially from the result of variance decomposition in international and domestic soybean futures price, we make the conclution that chinese soybean futures market price deeply depended on the international price, and the latter take guidance in a large part, this result directly led that China has no right in price decision in the process of world soybean price formation, although she is the main consuming and producing country in the world, as a result, we can not protect the legitimate inerests of domestic producers and traders in the process of soybean price decision.