Analysis And Application Of Price Fluctuation Of Chinese Soybean Futures

In recent years,financial instruments have developed rapidly.Among them,futures,as a rapidly developing financial derivative product,has occupied a very important position in actual production transactions.A futures contract is a standardized contract designed by a futures exchange,approved by a national regulatory body,and finally marketed.It has the characteristics of high liquidity and management practices.As the demand for producers seeking hedging in the Chinese market is increasing,China's futures market has also developed rapidly,and the design and regulatory system of its trading contracts have been continuously improved.Price discovery and hedging are the two most important roles in the futures market.Price discovery refers to the futures price formed through futures trading in an open,fair,efficient and competitive futures market.It has authenticity,expectation and continuity and authority,can more realistically reflect the trend of future commodity price changes.Hedging means that producers use the underlying and futures contracts to build an effective portfolio to lock in returns and avoid risks.The key to hedging is the price of futures contracts,so the price discovery function of the futures market is more important.The daily life of Chinese residents is inseparable from soybeans and their soybean products,which are rich in protein and oil.Therefore,as the main food crop in China,soybean import demand is climbing to a new high every year.In 2016 alone,83.91 million tons of soybeans were imported.Therefore,mastering the law of soybean price fluctuations and avoiding market price risks are of great significance to soybean growers,soybean processing enterprises and soybean investors involved in soybean futures trading.The paper selected the closing price of soybean futures contracts from Dalian Commodity Exchange for the period of 1,205 trading days from 2013 to 2017 as the research object,and studied the validity test of China soybean futures market and the volatility of soybean futures contract prices.The statistical characteristics and the degree of goodness of fit and the degree of validity of external prediction in the price prediction model of the soybean futures contract established by the GARCH family model have analyzed the soybean futures contracts in China in a hierarchical way,and concluded the following conclusions:(1)Aiming at the hypothesis of effective market proposed by Fama,the degree of effectiveness of China's soybean futures market was studied.This paper uses three conventional methods.Overall,China's soybean futures market has basically reached a stage of weak effective market.However,during the process of unit root inspection of the near-month contract,it was found that the time series of the near-month contract price of soybean futures did not reach random walk,and its effectiveness still needs to be further improved.(2)The basic statistical characteristics of the volatility of soybean futures contract prices are analyzed.Firstly,the volatility used is the historical volatility based on the historical transaction price of soybean futures contracts.Secondly,it can be seen from the time series spectrum of volatility that there is agglomeration in the volatility of soybean futures contract prices.After the autocorrelation analysis of the time series,it is concluded that there is an autocorrelation effect at 95%of the significance level,whether it is a near-month contract or a main contract.During the conditional heteroscedasticity test conducted by the ARCH model,the apparent heteroscedastic effect did not appear in the near-month contract,indicating that the residual of the volatility of the soybean futures contract price has nothing to do with the independent variable time.However,the test result of the ARCH model of the main contract indicates that the residual term of the price volatility is related to time,that is,there is obvious conditional heteroscedasticity.Finally,when studying the asymmetric effects of volatility,different conclusions were drawn.When the AARCH model is used to test the asymmetric effect of the change of volatility,both the near-month contract and the main contract have asymmetric effects.When the EGARCH model is used to study the elastic change of volatility,the near-month contract shows the non-symmetric elasticity.Symmetrical changes,the main contract does not have elastic asymmetry.(3)On the whole,the EGARCH model performs better in the prediction model of the near-month contract.For the prediction model of the main contract,the logarithmic form of the conditional variance GARCH-M model performs better.Comparing the price forecasting model of the near-month contract with the price forecasting model of the main contract,it can be found that the goodness of fit of the main contract is better than that of the near-month contract.The R^2 value test statistic of the main contract is basically 96%,which is greater than 93%of recent monthly contracts.For AIC,the test statistic of the SC criterion,the main contract is also significantly smaller than the value of the near-month contract,indicating that the price prediction model of the main contract is more concise and accurate.From the comparison of the loss function model,the near-month contract and the main contract can find that the value of the main contract is lower than that of the near-month contract,whether it is absolute error or relative error,indicating that the price prediction model of the main contract can achieve better prediction.result.