Empirical Research On Price Linkage Of Sino-US Soybean Futures Market

As trade globalization speeding up,our country as the world’s largest consumer of soybean,soybean imports each year accounted for more than 60% of the total global soybean trade,the United States is the second largest source of China’s soybean imports,at the same time is also the biggest exporter of soybean in China,so the sino-us soybean trade dependency is very high.As an important place for hedging,price discovery and risk avoidance,futures market plays an important role in soybean economic development.CBOT is one of the most authoritative soybean futures trading in the international market,the market price of soybean has absolute power.DCE is the biggest agricultural products futures exchange,is also the world’s second largest agricultural futures exchange.According to the soybean futures price charts can be found that there is some kind of connection.The soybean futures price linkages of China and the United States,is conducive to grasp the international linkage effect of the soybean and change rule.Soybean related companies and investors can better grasping of the features of the soybean futures price,to improve their ability of risk prevention.On the basis of summarizing and analyzing the development characteristics of China-US agricultural futures market,this paper expounds the theoretical basis of price linkage between China and the US futures market,namely market integration theory,no-arbitrage equilibrium theory and information spillover effect theory.The main factors affecting the price linkage of the futures market are analyzed,namely the openness of the futures market,the margin system and the market liquidity.Then,the empirical method is used to analyze: Firstly,the stability test of the Sino-US soybean futures price data is carried out on the basis of the full-time sample,eliminating the possibility of pseudo-regression caused by the unstable time series.Then,the co-integration test of the Sino-US soybean futures data is conducted to judge the long-term equilibrium relationship between the Sino-US soybean futures prices.Finally,using the Granger causality test method to quantitatively analyze the guiding relationship between the two,it is found that the US soybean futures price is the Granger reason for the Chinese soybean futures price,and the price of the Chinese soybean futures is not the Granger reason for the US soybean futures price.Then,the Sino-US soybean futures price data is taken as the time node in the Sino-US trade war,and the price linkage effect is studied on the basis of time-series data.The vector autoregressive model is established,and the data samples are subjected to variance decomposition and impulse response functions.The dynamic changes of the price linkage relationship of soybean futures market before and after the Sino-US trade war are deeply explored.The empirical results show that there are long-term equilibrium relations and short-term dynamic adjustment between Chinese soybean futures market and American soybean futures market.The American futures market is faster than the Chinese futures market in information transmission,which occupies a dominant position in the process of information transmission.Affected by Sino-US trade friction,the price change of American soybean futures market has a reduced influence on the price of Chinese soybean futures market,while the price change of Chinese soybean futures market has a slight influence on the American soybean futures market.In the future,it will be more realistic to pay more attention to the impact of China’s futures price changes on soybean futures prices.In addition,by comparing the variance decomposition before and after the trade war with the lag order of impulse response,it can be concluded that the information transmission speed and market efficiency of the futures market in China and the United States have increased,which can better play the function of the futures market.Finally,this paper explains the empirical results of price linkage from the perspective of spot market and futures market,and puts forward some policy Suggestions for the development of soybean industry and agricultural futures market in China.