Research On The Effectiveness Of China’s Soybean Futures Market

In 2008, total volume of commodity futures in China is about one third of the total volume in the world, and China has become the world’s second largest commodity futures market. Since 1995, the changes of trade pattern made domestic soybean market change a lot in the structure of supply and demand. Soybean spot market prices are affected by the futures prices, at the same time the effectiveness of the soybean futures market plays an important role in guarantee farmers’ interests, guide the soybean production circulation. On May 9,2014,<the state council on further promoting the healthy development of the capital markets> is also clearly put forward in the article 5 that strengthen the construction the futures market, develop the commodity futures markets is necessary, and especially emphasized on giving full play to the price discovery and risk management functions, strengthening the ability of serving the real economy.Based on the perspective of price discovery and hedging functions, this dissertation analyze the effectiveness of the soybean futures market in China. This paper consists of four main parts which divides into six chapters.The first part is the chapter 1 of this paper named the introduction part, mainly elaborates the background, research purpose and significance, research status at home and abroad, technical route and the main research contents of this paper.The second part is the theory analysis part, mainly makes up of chapter 2 and chapter 3. The second chapter mainly elaborates the related theory of the futures market and its’efficiency, the function of futures market, the inner link between the futures market efficiency and futures market function; the third chapter mainly introduces the principle of the futures market effectiveness and different models and indexes, as well as the correlation between different indicators and the function of each index.The third part is the empirical part, mainly made up of chapter 4 and chapter 5. The forth chapter mainly study the price discovery function, chose the correlation index, Granger Causality Test, GS model, information share model. The result find that China’s soybean futures market has price discovery function, but it is only about 8.06% higher than the spot market price discovery, so price discovery function and pricing efficiency in our country’s soybean futures market remains to be improved; The fifth chapter mainly study the hedging function, choose the basis, hedging performance, hedging ratio and volume analysis these four indicators, and choose A1307, A1309, A1311, A1401, A1403, A1405 these six consecutive contracts. The result shows that China’s soybean futures has hedging function, from the running efficiency reflects by hedging is good, but due to the imperfect of futures market, hedging function can not be good expressed and vulnerable to speculative factors, so only continuously strengthen the hedging function, the running efficiency of the futures market can be improved at the same time.The forth part is the chapter 6 of this article, about summary and suggestions, at this part, puts forward relevant countermeasures and suggestions aimed at the existing problems of soybean futures market in China, and hope to improve the price discovery and hedging function of China’s soybean futures market.In this paper, the innovation points are mainly concentrated on the research perspective and methods:most forefathers’ research only from the perspective of price discovery to validate effectiveness of futures market and only choose single model, this article is based on the price discovery and hedging functions, selects different qualitative and quantitative analysis methods, in order to avoid the outcome bias and make the results more authenticity and persuasive.