Empirical Analysis On The Relationship Between Chinese Egg Futures Price And Egg Spot Price

Egg futures is China's first listed fresh agricultural futures.It's listed on the Dalian stock exchange in November 8,2013.Its birth has opened up a new field of agricultural products futures in China.No matter to our country futures market or the egg related industry,it has the profound significance.Egg futures are generally concerned by investors in the three year of the listing,and market participation enthusiasm is very high.But due to the shorter time to market,new varieties are often artificially hype that leads to excessive deviation from the actual value.In addition,it's lack of foreign experience that only the United States and Japan have been listed on egg futures and both have stopped trading.The study on the egg futures is relatively small for the moment.Therefore,the research on the development of egg futures market and the price discovery function of egg futures is related to whether the species can develop in an orderly,and also affects the whole egg industry and agricultural product market stability even the positive development of China's futures market.Based on the above background,this paper choose the futures price and spot price of egg as the research object.First,I analysis the development of egg spot market and the futures market,and introduce the operation status of the futures market from the egg futures contracts,trading volume,open interest,exchange rate and price volatility.Secondly,I make an empirical analysis of the futures price and the spot price of egg by using statistical features analysis,correlation analysis,co-integration test,Granger causality test,VAR vector auto regression model and impulse response function and so on.Finally come to the conclusion,and I put forward policy suggestions from two aspects of the spot market and the futures market.The research result shows that:There's a high correlation between the futures price and the spot price of egg.They show a general trend of change,but the fluctuation of the spot price is more intense;There is a long-term equilibrium cointegration relationship between the futures price and the spot price;They have two-way causal Granger relationship,and the futures price has more significant guiding role on the spot price;VAR model and impulse response function analysis show that they both has a certain degree of sensitivity to the market information.So that the price discovery function of China's egg futures has been further improved and the maturity of the market has also increased.Through the theoretical and empirical analysis on the development status of China's egg spot and futures market combining with the inspiration from the development of egg futures market in foreign countries,I put forward four policy recommendations for the healthy operation of the egg futures and spot markets:First,we should strengthen the scientific regulation of egg spot market in order to avoiding sharp fluctuations in egg prices;Second,we should combine the status of the egg industry to improve the standard design and delivery system of egg futures contract;Third,we should actively guide more egg industry operators to participate in futures hedging;At last,we should increase the supervision efforts of egg futures market to curb excessive speculation.