The Research On The Cross-variety Arbitrage Of Corn Futures And Corn Starch Futures In China

The first launch of the futures category in China's futures market is agricultural futures,agricultural futures is also the largest commodity futures trading futures.After decades of development,China's agricultural products futures market in the world has become second only to the United States agricultural products futures market.From a single species to a wide variety,agricultural futures trading volume increases steadily,occupying more than half of the commodity futures market and much higher than the energy and metal futures trading volume.China is a major producer and consumer of corn,but also a huge corn export country.Starch is the main product via deep processing,more than 80%of the world's starch is made from corn.At present,the starch industry is developing rapidly,and the processing products with corn starch as raw material have no less than 100 kinds.The corn starch can not only widely used in food,chemical,textile and paper making,it is also an important raw material for the production of glucose in medicine.In addition,it can also be used to produce penicillin,streptomycin and other antibiotic media.With the further development of science,the use of starch will be more and more broad.The research background of this paper is based on China's futures market development of corn and corn starch,according to that the two is in the same inner link of industry chain,influenced by the same factors of supply and demand and price factors.Then we use the theory and model of econometrics and finance to analyze the relationship of futures prices between corn and corn starch,trying to find the law of arbitrage between two varieties.Firstly through the ADF and co-integration test,the test whether China's corn futures and starch futures price sequence is a random test is made,with the conclusion that the two futures contract price is a long-term equilibrium relationship,Conditionally used to cross-variety arbitrage.Secondly,this paper analyzes the spread of maize and starch by Eviews software,and introduces the concept of threshold.The result of empirical test shows that the period of the two contract spreads from the equilibrium to the regression equilibrium is 78 days.The thresholds and stop thresholds set in this paper allow the profit of corn and corn starch futures to be profitable.Finally,from the perspective of the risk of the cross-variety arbitrage,we proposed corresponding recommendations.