| As an agricultural country, soybean industry is one of the main industries,which supported the lifeblood of agriculture industry in China. And it is also animportant part of national economy. With the changes of these factors, such assupply and demand, the price of related goods, the price of international marketon soybean, the spot price of soybean fluctuates frequently and violently and itwill seriously affect the stable development of soybean industry.The hedging function of soybean futures can effectively manage and avoidthe price risk of spot market. And it can make the producers of soybean lockingcosts, increasing profits and enhancing the market competitiveness of domesticsoybean. Therefore, how to effectively use futures hedging function to dispersesoybean price risk has become the objective demand of soybean producers. Andit is also an inevitable requirement which is development of domestic soybeanindustrialization and marketization.This paper focuses on the price risk of spot market and researches onsoybean of NO.1in Dalian Commodity Exchange (DCE). Then it respectivelybases on OLS, ECM and ECM-BGARCH model to estimate the optimal hedgingratio. And it also establishes the effectiveness index of the optimal hedging ratioto evaluate its performance. Analysis results show that the hedging ratio which isestimated by ECM-BGARCH model is more accurate. And it can better reducethe price risk of Domestic soybean spot marketFinally, this paper gives three suggestions which aim at the existingproblems and defects of soybean futures market in China. They requirestrengthening the supervision of trading, perfecting the information disclosuresystem, and actively developing diversified trading main body. It can improveand perfect the domestic soybean futures market. Domestic soybean futuresmarket can play a better function to spread the risk of spot prices. And it can also be to promote the sustainable development of the domestic soybean industry. |
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