Study On Correlation Between Soybean Futures Base Difference And Liquidity

In today's world economic globalization,the futures market is growing,but the subsequent increased risk is compared with other markets,the risk of futures market has been its unique leverage magnified the influence factors of China's soybean futures prices is more,such as the us dollar index of soybean futures prices and domestic soybean production and demand,etc.,in addition,because of the soybean futures prices and soybean growers processors,such as the participants of upstream and downstream of the consumers and the interests of the soybean futures market participants also has a strong correlation,so the soybean futures market risk measurement problem became the futures market participants soybean growers toconsumersAsamajorconsumerofsoybeans,China hasasignificantimpactonthe internationalsoybean price?For a long time,scholars in the futures basis of study on the relationship between the liquidity and,most ofscholars agree that in the short term between asset pricesand no-arbitrage price deviation related to tradefriction,andliquidity atthe same time alsois tosay there wasalink assetpricedeviation can improve liquidity in the market gradually returned to normal level in this range,the futures price and spot price should be convergence,in turn,basis can also lead to arbitrage,and this will be a certain degree of impact on liquidity However,in most foreign research literatures,stock index futuresare favored,butthere are few studies on agricultural products futures.As the largest agricultural country in the world,the price of agriculturalproducts is also concerned.So this article wants to soybean futuresbasisto study the correlation relationship between liquidity and,to verify whether the law of one price in our country agricultural productson the market and financialfutures,compared the influence factors ofagricultural futuresand spot basis more,such as storage cost transportation cost such as climate and war,the resulting friction is bigger also,the liquidity of financial futures are big,and agricultural products futures are illiquid,so in the short termtheremaybedeviationorfailure.This article first has carried on the definition to basis and liquidity,and then the measures were introduced,and the detail comparison on the liquidity index,finally determined the basis and liquidity index then the empirical part of the need to use the vector autoregressive model,granger test impulse analysis and variance decomposition model theory part has carried on the detailed elaboration,in order to apply in the empiricalprocess.Empirical process,first hascarried on the descriptive statistics to basis and liquidity sequence,after its stationarity test,through the establishment of vector autoregressive model,using granger causality test methods of impulse response analysis and variance decomposition of soybean futures basis makes an empirical analysis on the relationship between the liquidity and granger causality test shows that under the significance level of5%,1701,1705,1709 contractbasisandthere is no liquidity grangecausality,namely the basis and the interaction of the flow is very small.But 1703 contract shows that liquidity is the granger cause of basis,and the basis is the granger reason of liquidity 1711 contract basis is the granger cause of liquidity,and liquidity is the basis of granger reason,namely the contract 1703 and 1711 have shown the basis and liquidity analysis show that there is two-way causalrelationship between pulse,1701,1705,1707 the interaction between the basis difference of the 1709 contract and liquidity is relatively small,but the impact of the basis difference of the 1703 contract on liquidity is relatively large,and the impact of the liquidity of the 1711 contract on the basis difference is relatively large,which further supports the conclusion ofthe granger causality test above.The results ofvariance decomposition showthat the liquidity of 1701,1703,1705,1707,1709 and 1711 contracts contributed 0.034249%,2.688607%,0.299683%,0.832695%,0.609756%,and 7.726615% to the basis fluctuation,respectively.In general,the liquidity contributed little to the basis fluctuation,that is,the basis difference of each contract was almost affected by its own impact.Relatively speaking,1711 contract basis contributed most of liquidity,namely 1711 contract basis of exogenous variables impact on liquidity of influence degree of the largest and the granger test results are basically consistent and the pulse,further proof that commodity futures basis and there is a certain relationship between the liquidity,but in this relationship is not particularly evident,possible reason isthatintheshorttermbasisontherelationshipbetweentheliquidityanddeviationexists.This paper attempts to obtain the relationship between the basis difference and liquidity of soybean futures through empirical analysis,and puts forward reasonable Suggestions for the operation of China's futures market,hoping to make the soybean futures market more mature by reducing the delivery cost and optimizingthemarketenvironment.