| With the deepening of reform,China’s agricultural futures market has entered a new stage of rapid development,its unique price discovery,risk aversion function in the agricultural system has played an irreplaceable role.In this context,it is very important to study the relationship between price and volatility of agricultural futures market and spot market.In this paper,the selection of yellow soybean No.1,corn and Pu Mai as agricultural representatives,obtained from January 2011 to December 2016 futures prices and spot prices week data.The model based on covariance test,vector error correction model,variance decomposition and impulse response reveal the price relationship between the spot market of agricultural products.This paper analyzes the fluctuation spillover effect between the futures market and the spot market from the perspective of the correlation and complexity between the futures market and the spot market.The conclusion is as follows:There is a long-term stable relationship between the two markets of Soybean,futures prices have a guiding effect on the spot price,the spot price does not have a leading role in futures prices.In the impulse response function analysis,the futures price and the spot price have a strong response to their own standard deviation information.The futures price has a greater impact on the new price of the spot price,which fully reflects the futures market in the price discovery Leading Role.Soybean futures market volatility spillover effect on the spot market,soybean market fluctuations in the early fluctuations in the current fluctuations in the spot market.Commodity prices closely follow futures prices,which are mutually driven by Granger causality,futures prices and spot prices.In the impulse response function analysis,the futures price and the spot price have a strong response to their own standard deviation information,and there is also a clear response to the new market news.However,the futures price has a greater impact on the spot price Large,fully embodies the corn futures market in the price discovery in the leading role.The maize futures market has a volatility spillover effect on the current market,and the early fluctua tions in the maize market(current)have slowed the current volatility of the current market.Pumex futures prices and spot prices have the same direction,the spot price is the price of the Granger causal,spot prices to guide futures prices.In the impulse response function analysis,the futures price and spot price have a strong response to their own standard deviation,but the spot price has a greater impact on the futures market,indicating that the spot market in the spot price The leading role.Corn spot market fluctuations in the futures market has a spillover effect,and the corn spot market pre-fluctuations in the futures market to increase the current fluctuations. |
