Research On Price Transmission And Volatility Spillover Between Futures And Spot Market Of Soybean Products

As the continuous improvement of China's economy and people's living standards,the structure of diets significantly optimized,and China's demands on soy products increased over years.Besides there is a certain degree of risks due to our excessive dependence on global soybean market.This dissertation addresses the price transmission and volatility spillovers of China's soybean products in 2007-2015 futures and spot markets,by leveraging the error correction model and the BEKK-GARCH model.This empirical research analyzes the direction,path and strength of price transmission,and clarify the relationship between the futures price and the spot price at the mean and variance level.It is of great practical significance to alleviate the losses caused by the volatility of soybean products prices,to avoid the potential risks of the market,to improve the construction of agricultural products market.The main contents and conclusions of this paper are as follows:(1)Analysis on the price trend and reason of Soybean Products.Through sort out the price of soybeans,soybean oil,soybean meal in 2007-2015.Price trend quotes are divided into violent fluctuations,rise in fluctuations and decline in fluctuations,and intuitive to reflect on the financial crisis in 2008 and the 2012 severe drought in United States.(2)This paper studies the price transmission and volatility spillovers of soybean products price in futures and spot markets.Firstly,by establishing the error correction model,Granger causality test,impulse response function,variance decomposition,analyze the transmission direction,the transmission path between futures and spot price of soybean,soybean oil,soybean meal.The BEKK-GARCH model is used to discuss the fluctuation direction,fluctuation path and fluctuation intensity.The study found that: firstly,the price transmission of Soybean product between futures and spot market is good,there is a two-way transmission relationship,and futures prices dominate the market.Secondly,the futures and spot prices of soybean products have significant twoway volatility spillover effect,and show a significant variance of variability and volatility persistence,price fluctuations are mainly affected by their own market prefluctuations in the situation.Thirdly,the future price of soybean meal guide the spot price,with a certain degree of asymmetry.(3)According to the different price movements of soybean products,this paper conducts a process study on the relationship between futures and spot prices in 2007-2009,2012-2012,2013-2015,and compares it with the findings of 2007-2015.The results show that the intense fluctuation period has a lasting and strong effect on the price transmission in the whole period.In the case of two-way volatility spillover effect,Soybean oil and soybean meal market alternately dominate the price fluctuations between futures and spot price,the soybean market in most cases no significant price fluctuations dominate the market,in most cases,soybean market has no obvious effect on the leading price fluctuations.The innovation of this paper lies in three aspects.Firstly,Integrated Inspection based on soybean product system.Soybean,soybean oil,soybean meal are the associated products based on the industry chain,In this paper,the relationship between futures and spot price is studied through the integration perspective of soybean product system,and the influencing factors of related varieties can be investigated.Secondly,Based on the comparative analysis between the empirical conclusions on the whole sample interval and conclusions of the process research.Trying to examine the impact of different price movements on the relationship between futures and spot prices.This ideas of contrastive analysis may provide a new understanding way of price transmission relationship.