Study On The Fluctuation Relevance Of Corn Spot Price And Futures Price Between China And America

As one of the most important varieties of grain production in China,corn is an important agricultural commodity.It is not only widely consumed as food and feed,but also an important energy raw material.China is the second largest country of corn production and consumption in the world after the United States,and it plays an important role in the economic volume of China.The annual output of maize in China can reach 250 million tons and the consumption can reach 170 million tons.In the era of the financialization of agricultural commodities,the change of one market often causes the linkage reaction of other markets.As one of the active futures in the futures market,corn futures plays a more important role in the futures market.The Chicago Board of Trade(CBOT)has pricing power over corn futures,which has a spillover effect on Chinese corn market prices.Therefore,it is of great strategic significance to study the correlation between the two price fluctuations for the operation and risk avoidance of the corn market in China.This paper makes an empirical analysis on the volatility spillover effect of sino-us corn futures spot market to explore the internal relationship of these three market changes.Through the domestic and foreign price spillover effect and related mathematical models of the research results on the basis of a systematic interpretation,the context of this article and design ideas are sorted out.The relevant data of three markets from October 1,2017 to December 31,2019 are collected in consequence of the daily closing price of the main corn futures contract on the Dalian Commodity Exchange(DCE)representing the futures price of the corn products in China,on the Chicago Board of Trade(CBOT)representing the price of the corn futures in the United States,and the daily purchase price of corn in Jinzhou port representing the spot price of corn products in China.After preprocessing the relevant data,372 groups of sample data were selected and their statistical characteristics were analyzed and verified.On this basis,the price spillover effect of sino-us corn futures spot market is analyzed with the econometric analysis model.In order to investigate the internal relationship between corn markets,Var model and Garch family model are used to analyze the mean spillover effect and volatility spillover effect between the yield series of Chinese and American Corn Futures.The results show that there are some mean and volatility spillover effects between the three markets,in which the relationship between China's corn futures market and the spot market are very close,and the futures price is highly correlated with the spot price.The American corn futures market has a unilateral influence on China's corn futures market,and the pricing efficiency of China's corn futures market in the international futures market still needs to be improved.Finally,the full paper of the research results are summarized,put forward the corresponding countermeasures and suggestions.