Study On The Linkage Between Futures Prices Of Corn And Soybean Meal And Egg And Spot Price Of Eggs

Since the Dalian Commodity Exchange was approved by the State Council in 1994 as a futures exchange to continue the pilot project,Dalian Commodity Exchange has developed 19 kinds of futures for industrial and agricultural products,including 12 kinds of futures for agricultural products.We mainly study corn futures,soybean meal futures and egg futures.China is an important demand country for soybeans,while the United States is the largest soybean producer in the world.Soybean meal,as an important by-product of soybean,has a close relationship with soybean.As the pricing center of global soybean,the CBOT soybean futures of Chicago Futures Exchange is the pricing center of global soybean.Since July 2000,the correlation between China's soybean meal futures and CBOT soybean futures price has exceeded 90%.The trend of global soybean futures affects the fluctuation of China's soybean meal futures.On September 22,2004,the maize futures,a major agricultural product in China,resumed marketing.It was also the first grain futures product launched after the clean-up and rectification in 1998,which had a great impact on the maize industry.With the development of futures market and the continuous expansion of futures varieties,on September 25,2013,China Securities Regulatory Commission officially approved the listing of egg futures on Dalian Commodity Exchange.It is beneficial for laying hen farmers to hedge both feed and eggs from feed cost,so as to realize the complete hedging of the whole industrial chain from raw materials to output.The time of egg futures is relatively short,and the egg futures abroad have been canceled all.Many scholars pay more attention to the operation efficiency of egg futures in China,but they mainly focus on the single market of egg futures,lacking of detailed research from the perspective of industrial chain.Therefore,this paper explains this from two aspects:On the one hand,Given the late appearance of egg futures,Its market operation efficiency needs to be continuously tested and improved.This paper uses updated data to verify and improve the price fluctuations and price discovery functions of egg futures,indicating that the egg futures market is typical.The characteristics of financial asset fluctuations-spikes,fat tails and price fluctuations have asymmetry,etc.It is verified that the price discovery function of the egg futures market is relatively perfect,and the futures price has a guiding effect on the fluctuation of the spot price;On the other hand,With the advancement of China's internationalization process,China's agricultural exports and imports and the futures market are increasingly connected with foreign countries,especially the United States.Based on the 2016 corn storage system reform and the 2018 Sino-US trade war,This paper studies with the DCC-GARCH model and the study found that the correlation between egg futures and corn futures and soybean meal futures will be affected by related events.The reform of the deposit system has increased the correlation between egg futures and corn futures market,significantly increased the correlation between egg futures and soybean meal futures market.This provides empirical support for the expansion of the operation efficiency of the egg futures market in the perspective of the industrial chain.At the same time,it provides targeted advice for the related companies to avoid risks from the perspective of the laying chain industry chain.