The Research Of Price Bubble And Contagion In Feed Futures

Since the beginning of the construction of futures market in China in the 1990 s,it has experienced the period of initial groping,the period of rectify and the period of steady rise.With the continuous rich experience of China's construction of futures market,related regulations and laws continue to improve,the domestic futures market,especially agricultural futures varieties develop rapidly.Among the many varieties in the agricultural futures market,feed futures have always occupied an irreplaceable position.Feed futures are closely related to China's livestock industry,soybean meal,corn and other varieties are important raw materials for livestock husbandry.As an important part of China's agricultural structure,the livestock industry's output level accounts for about 45% of the total domestic agricultural output value.In recent years,the price fluctuation of livestock products has fluctuated sharply,which not only affects the healthy development of the livestock industry,but also is not conducive to macroeconomic stability.From the domestic market,the cost of animal husbandry is an important factor affecting the price of livestock products.Among them,the feed price level directly affects farmers' farming decision-making,and then affects the supply and demand relationship of livestock products market.Therefore,the sharp fluctuations in feed prices will lead to the domestic livestock industry security is threatened.This paper takes the bubble composition in the agricultural feed futures market as the research object,selects the daily closing price data of soybean meal and corn futures prices from 2016 to 2018,and empirically analyzes the existence of the price bubble and the origination and termination dates of the bubble occurrence by using the generalized sup ADF test.At the same time,in order to explore the contagion effect of price bubble,of the same variety,different months of futures contracts,in turn to carry out the bubble test,and according to the time order of bubble occurrence to comb the specific path of bubble infection,and finally put forward the corresponding policy recommendations.The empirical results of this paper show that:(1)the price data of both futures varieties have significant price bubbles in the sample period,and both are positive bubbles,but the bubble range of soybean meal futures is much larger than corn futures,soybean meal futures are more likely to produce bubble composition.(2)there is a significant bubble contagion effect between the main contract and the adjacent contract of soybean meal,and the price bubble is contagious from the main contract to the other contracts at each stage,and there is also an infectious effect between different main contracts.There is no obvious contagion effect between the contracts of the corn.Finally,this paper puts forward the specific suggestions from the three aspects of investors,futures market and government supervision.