Research On The Price Volatility Characteristics Of China Soybean Meal Futures

China Soybean meal futures is one of the most influential futures in the global futures market,with many investors and spot businesses involved.In the 2015 ranking of global agricultural futures,China soybean meal futures ranked the first.Therefore,the research on the price volatility characteristics of China soybean meal futures has very important practical significance.It is beneficial for soybean futures market participants to grasp the law of soybean meal futures market operation.Investors are the main participants in soybean meal futures market.Their investment decisions directly affect the price trend of soybean meal futures market.Introducing the analysis of investors' actual decision psychology is helpful to reveal the internal driving force of price volatility in soybean meal futures market.Therefore,this paper makes an empirical research on the characteristics of China soybean meal futures price volatility and explains the reasons for the volatility characteristics based on behavioral finance theory.First of all,this paper reviews relevant literatures on the characteristics of financial asset price volatility at home and abroad.And then the relevant theories used in this article are sorted.Then the article introduces the ARCH-type models.This paper takes the daily closing price data of Dalian soybean meal futures as the research object.First of all,a statistics description of the data is made.It is found that the price volatility of soybean meal futures has the characteristic of peak.After that,the stability test of soybean meal futures price return is carried out.The price return data of soybean meal futures is stationary data.The data satisfies the conditions for the ARCH-LM test.After ARCH-LM test,it is found that soybean meal futures price volatility has ARCH effect.Then the paper sets up ARCH-type models for the price return of soybean meal futures.The result of GARCH model shows that soybean meal price volatility is characterized by clustering and sustainability.The change of soybean meal futures price tends to be large fluctuations followed by large fluctuations and small fluctuations followed by small fluctuations.The shock wave effect of soybean meal futures market will disappear,but it will disappear slowly.The results of EGARCH model show that the price return of soybean meal futures has obvious asymmetric effect.The price change of soybean meal futures caused by the information of prices down fluctuates more sharply than the change caused by the price up.Finally,from the perspective of behavioral finance,this paper makes an in-depth analysis of the causes of the volatility characteristics of soybean meal futures.First of all,the reasons for the clustering and sustainability characteristics of soybean meal futures price volatility are explained by anchored deviation.The Granger causality test is used to verify it.The empirical analysis shows that the investment decision of soybean meal futuresmarket is based on historical return rate.Investors have anchored deviation.Investors are anchored in the historical yield to make predictions for the future,so that soybean meal futures price volatility has the characteristics of clustering and sustainability.After that,the reason of the asymmetric characteristic of soybean meal futures price volatility is explained by framed deviation.The impulse response function is applied to verify it.Investors have framed deviation.Investors have an unequal response to positive and negative price volatility.The price volatility of soybean meal futures is asymmetric.Finally,based on the conclusion,suggestions are put forward from three perspectives,namely,speculators,hedges and related functional departments.