A Study On The Effectiveness Of Cotton Futures Market In China

Futures market can find market price and avoid risk in the market economy,thus stabilize and promote the development of market economy.However,only when the futures market has reached the high efficiency stage,its function can be fully developed.The validity of the futures market is to measure whether it helps the national economy development.Cotton is the second largest crop in our country,its position is second only to grain.In recent years,the production?consumption and import and export volume of China's cotton is the world's first,it plays an indispensable role in the global cotton market.Cotton futures trading volume has been rising since Zhengzhou commodity exchange officially launched cotton futures trading in June 1,2004.And China's cotton futures market has become one of the world's largest cotton futures market.Its adjustment of cotton in various production and consumption links is becoming more and more important.To study the effectiveness of the current cotton futures market in China is beneficial to coordinate the development relationship between cotton futures market and spot market and to provide some reference for the cotton enterprises and farmers in the process of making or adjusting the operation of the production strategy.This paper firstly introduces the effective market theory,the inspect method of market effectiveness and the introduction of the cotton market in China.Then chooses some of the real transaction data from China's cotton futures market and the spot market,and carries out the empirical analysis through the unit root test,co-integration test,Granger causality test.And it gets the preliminary conclusion that there is a co-integration relationship between China's cotton futures prices and spot prices,and that the cotton futures market can guide the cotton spot market.Then,this paper uses the descriptive statistics,the unit root test,sequence correlation test,arch effect test to study the cotton futures yield sequence and further sets up the GARCH model,and it is found that China's cotton futures prices are subject to random distribution,and that our current cotton futures market has some characteristics of Weak Form Efficiency Market.But at the same time,the cotton futures' price fluctuation has a great risk.At last,this paper puts forward suggestions on the market efficiency of the spot market,main structure of investor,risk management and system innovation to help improve the efficiency of the cotton futures market,and hopes that China's cotton futures market can be healthy and orderly development.