| With the increasing complexity and linkages of world economic activities,the recession of asset markets such as the stock market and the property market,and the intensification of the energy crisis,the financialization trend in the agricultural commodities has become increasingly prominent.Agricultural futures,as the main derivative market,are facing Increasing price movements and complex price risks.In recent years,China's futures market has promoted the speed of listing of new varieties,and realized the diversified development from relatively single varieties such as cotton,grain and oil crops to the light industry,forestry,fruit industry,and poultry and egg industry.More and more new varieties have performed their important function of price discovery in the market.By focusing on these new varieties which little research so far has paid attention on,the study of their price volatility characteristics,bubble risk and price discovery function can fill vacancies of existing researches and provide a new perspective for the price supervision of China's agricultural futures market.The main contents and conclusions of this study are shown below.(?)The price volatility characteristics of eight new varieties of futures were studied,and their price trends,long-term trends,and volatility cycles were analyzed.By directly observing the price trend chart,it was found that the prices of fiberboard,rapeseed,rapeseed meal,eggs,and late indica rice futures fluctuated sharply,and the characteristics of sharp rises and falls were obvious.Apple futures prices showed a "roller coaster" trend,which have climbed after listing,and have fallen all the way after reaching the top in 2018.The prices of corn starch and cotton yarn futures are dominated by declines.The long-term trend of the price of new varieties can be divided into four characteristics: "decrease,increase and decrease","decrease first and then increase","decrease" and "increased first and then decrease",and most of the new varieties may continue downward trend of long term in 2020.The average length of volatility cycles of new varieties is 30 months,which means the cycle length is shortened,and the volatility is asymmetry and different among varieties.(2)Calculate and analyze the bubble risk of eight new varieties of agricultural futures.First,the GSADF test is used to find whether the bubble risk of each variety exists based on the daily price of the new variety futures,and to stamp the start and end dates of each bubble event.The results show that six of the new varieties have different scales of bubble risk.There is no strong evidence for the existence of bubble risk in corn starch and egg futures,and there is no necessary correlation between bubble risk and extreme changes in prices.Furthermore,the bubble event is further analyzed from three perspectives: bubble risk time distribution,length,and “rotation effect”.The analysis results show that the bubble size of new varieties is generally small,but there are rounds of speculation across varieties and exchanges.(3)Using the VAR model tests the price discovery function of new varieties in the full sample period,the bubble period and the non-bubble period,and comparing the price fluctuation interpretation ratios of variance decomposition in different periods.Overall,the price discovery function of new varieties of futures has performed well.Compared with the full sample period and the non-bubble period,the rapeseed and apple futures in the bubble period can explain more variances in price volatility.The trading volume and liquidity brought by speculation may promote the probability of bubble risk on the one hand,but on the other hand also enables the futures market to obtain effective information faster,which is beneficial to the realization of the price discovery function.The innovations of this research are as follows.(1)The existing research focuses on the varieties with long history such as beans,cotton and corn.This paper breaks through this limitation and selects the research object as agricultural futures newly listed in recent years to investigate its price fluctuation characteristics,bubble risk and price discovery function.(2)Firstly this paper identifies and locates the bubble risk,and then inserts the perspective of bubble risk into the research of price discovery function.In this study,we examine the price discovery function under different price conditions and analyze the impact of bubble risk on price discovery. |
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