Research On Co-movement Between Future Price And Spot Price Of Palm Oil In DCE

The globalization today,the market is not an individual,but a unity which is organic connect inside and outside factors.With interact with foreign futures markets and guide the spot market,the palm oil futures market plays an active role,In terms of offer expectant price signals,transfer price risk and protect market stakeholders.As a major palm oil import and consuming country,frequent price fluctuations becomes an important issue with the growing demand of palm oil.Research on the reasons of price fluctuations and use price signals of futures market has a practical significance.Based on an explanation of the basic theory of the futures market and the price discovery function,the article empirical research on the co-movement between futures price and spot price of palm oil in DCE by applying means of basic factor analysis,Johansen Co-integration Tests,Granger Causality Tests,quantitatively describe the effect and efficiency of the agricultural futures markets in price discovery.Empirical results indicate that:Our futures price and spot price of palm oil are co-integration correlation,but according to the VEC model,the futures market is lack of efficiency.When the futures price and the spot price is not consistent in short term,the error correction will constantly adjust the spot price until reach the long-term equilibrium.The palm oil market is only futures price lead spot price,the new information of futures price has significant influences on spot price,whereas only little impacts.All the conclusions indicate the futures market's dominant position,and the futures price is becoming the foundation of spot pricing.