Comparative Analysis Of Grain Futures Market At Home And Abroad

With the development of technology and economic, grain can also produce biofuels, besides producing food. Except the initial grain function cooking food, grain has added hedging and investment properties. Grain’s energy and financialization, Cause the price of grain futures market moving more complex. Based on the analysis of domestic and foreign grain futures market trading price, compare the price features of domestic and foreign grain futures markets, Determining whether there is influence mechanism between them. If have,judging the relation.Selecting soybean, corn, wheat as the representative of grain futures. Domestic data takes from the DCE and ZCE’s closing price, foreign data selects CBOT’s closing price, period from 2009 to 2014. By using cointegration test,ARCH testing and other econometric methods, researching and analyzing the price of soybean, corn, wheat from both futures markets.Study finds that there are long-term equilibrium relationship on soybean between domestic and foreign futures markets. The foreign market can affect and lead the domestic market’s price change. But The domestic markets doesn’t lead the price change of foreign market. Information can’t translate smoothly. The total variance of volatility almost is all from itself in two markets’ price, and only little from the other. But the linkage between them is slowly strengthen. Both market fluctuations have clustering.Study finds that there are not long-term equilibrium relationship on corn between domestic and foreign futures markets. In the short term, the foreign market can affect and lead the domestic market’s price change. And the domestic market can affect and lead the price change of foreign market too, it is less significant than the former. Information can be passed between each other, But the effect is not same. Both market fluctuations don’t have clustering, we can not infer future’s price movements based on past information.Study also finds that there are long-term equilibrium relationship on wheat between domestic and foreign futures markets. The foreign market can affect and lead the domestic market’s price change. But The domestic market doesn’t lead the price change of foreign market. There is obstruction from domestic to foreign on information transfering, so it is weaker than the information transfering from foreign to domestic. The total variance of volatility almost is all from itself in two markets’ price, and only little from the other. But the linkage between them is strengthen slowly. Both market fluctuations have clustering.History of China’s futures market is also short, futures price change lags behind the foreign, there is also obstruction on information transfering. National policy controls the basic grain crops corn and wheat, so it’s not consistent between domestic and international futures prices. Whatever, soybean futures price from domestic associate with foreign closely. On the one hand, it is because less national policy intervention. On the other hand, it is because our soybean is dependent on importing for a long time. China’s grain futures market directly affects our food spot market. When regulating the grain futures market and developing grain policy, country shuold steady state grain market and at the same time enhance China’s grain futures market’s competitiveness and influence in the international arena.