Research On The Measurement Of Infection Risk And Stratification Strategies In Futures Markets In Crisis Environment

In the process of world economic liberalization and integration,the relationship between the each part in the financial market is more and more close,futures market as main composition part of financial markets,once its risk will through a certain transmission mechanism,leading to other markets also have risks,and thus affect the stability of the entire financial market.At the same time,there is also a risk contagion effects between different financial products in the futures market,the price of a financial product change will react to other financial products in the futures market.In our country,with the deepening of the futures market opening degree to the outside world,the international futures market as well as entering into China to push China's futures market to the world.Due to the infection risk itself have wide influence,transmission speed,difficult to predict,the futures market in China is facing unprecedented challenges,any international market change especially the financial crisis,will have serious impact on our counter's futures market.Agricultural product futures market is gradually with the development of market economy and reform,the emergence of it from the side reflects the economic construction and development of our country finance very well,and become China's financial market economy indispensable essential part.Therefore,this paper based on the financial market crisis environment risk contagion phenomenon as a starting point,with the futures market as the research object,by the agricultural product futures market as the empirical object,measure the futures market risk contagion effect during the US subprime mortgage crisis,explore the infection management decision model to ensure the health of the futures markets in a crisis environment to cope with risks,to make sure China's futures market under the complex international environment health and stable development.The main research content of this paper is divided into four parts: first,study the mechanism and path of the futures market risk contagion.After introducing the characteristics,classification of financial risk contagion phenomenon,to explore the related effect of market participants in the futures market investment behavior,fundamentally find the formation reasons and transmission path of the futures market risk transmission.Secondly,on the basis of theoretical analysis,summarizes the existing risk measurement method,on the basis of Granger causality between variables,propose by GARCH model,VAR estimation system and impulse response analysis to structure the macro econometric measurement model of agricultural futures.After that,as the domestic agricultural products futures markets: soybean,wheat,corn,actual transaction data as sample object,use the macroeconomic measures model for empirical analysis under the crisis environment agricultural product futures market risk infection.Finally,according to the empirical results analysis from the macro,meso and micro three levels proposed measures and management strategies of futures markets respond to the risk infection.