The Research On The Information Efficiency Of China’s Agricultural Products Futures Market

As a big agricultural country, it can be seen that agricultural futures is important for China, and it is related to people’s basic life. Agricultural products futures market has the economic function of price discovery and hedging, and plays an important role in China’s futures market. Although the volume of the agricultural products futures market has been developing rapidly in China, China is facing the serious situation. The market efficiency is still not enough and the agricultural producer will face a huge risk. The agricultural products futures market can effectively resolve the risk in agricultural produce, and greatly increase the competitiveness of our agricultural economy. Furthermore it can help to solve the “Issues of agriculture, farmer and rural area”.The research of information efficiency has always been the core area in financial research. Futures market is different from the stock market, and cannot simply apply the method of the stock market. The studies of the information efficiency of the China’s agricultural products futures market have led to the attention of academic. However, it has not achieved many achievement. To study the information efficiency of agricultural products futures market is helpful to the development of China’s agricultural products futures market, and to ensure the health and stability of agriculture. So the studies on the information efficiency of the China’s agricultural products futures market are significant both theoretically and realistically.In this article, we take the prices of 3 representational agricultural products futures as the object of study. And we use futures price data of 2006-2014 years to exam the information efficiency of China’s agricultural products futures market. This article has 5 chapters; the main structure and framework are as follows:Chapter one describes the background, purpose and meaning of the research of the information efficiency of the China’s agricultural products futures market, and gives the research method, and summarizes the paper’s possible innovations and deficiencies.Chapter two reviews the domestic and foreign scholars’ agriculture futures market information efficiency theories and relevant research models. The information efficiency of futures market is the core areas of financial research, but the systematic combing on the issue is not perfect, and the relationship between researches is loose. Based on the extensive study on the relevant literature, following the time context and hierarchical order, we comprehensive summarize the five major theories of futures market information efficiency, and analyze the evolution and relationship between theories. Focusing on empirical approach of the random walk test, co-integration test, and behavioral finance test, and on the basis of sorting out these tests, we have proposed possible gaps in research.Chapter three uses the econometric analysis method to construct econometric analysis model, and to do empirical researches on the information efficiency of china’s agricultural products futures market. In order to solve the problem that some samples of information caused by deletion or distortion in the previous research on the efficiency of agricultural products futures information, this paper selected interval sample of China’s agricultural products futures market, combining the interval event study approach and GJR-GARCH market model, to analyze the information efficiency of China’s agricultural product futures market. The study found that China’s agricultural products futures markets degree of response to market information is small, and the information efficiency is low. The extent of information response of the soybean futures is the most sensitive, the second is corn, and wheat is the lowest.Chapter four uses the Agent-based Computational Finance to study the influence of different types of market participants on the information efficiency of agricultural products futures market by using the Swarm software. Information is one of the important factors to influence the behavior of market participants. Market participants could trade to getting profit based on their own information. According to the characteristics of agricultural products futures market, the article chooses the interval multistage emigration adjustment coefficients of futures as the quota of information efficiency in the agricultural products futures market. The result demonstrates that the increase in the proportion of arbitrage hedge can significantly improve the information efficiency of the futures market, while the event trader has little effect.Chapter five is summary and prospect. It again stresses this research significance for results, and puts forward policy suggestions to improve China’s agricultural products futures market, from the perfect system construction, the establishment of a unified information dissemination channels and strengthening the training of market participants and so on.