Research On The Relationship Between China’s Cotton Futures Price And Cotton Futures Price

As an important economic crop in China,cotton plays an indispensable role in the development of China’s agricultural economy.China is the world’s largest cotton consumer,producer and importer,but my country does not have a say in cotton prices internationally.In order to enhance the influence of Chinese cotton prices in the world and stabilize cotton prices,cotton futures were officially listed on the Zhengzhou Commodity Exchange in 2004.Because cotton futures can theoretically guide and discover the spot price of cotton,cotton futures are used for hedging to avoid the risk of price fluctuations.In recent years,various "black swan" events have occurred frequently,aggravating the volatility of cotton prices.In order to study whether China’s cotton futures play a role in price discovery and risk aversion,and to understand the impact of China’s cotton futures market on China’s cotton spot market.This paper selects the spot price of cotton futures from 2009 to 2022,and conducts empirical analysis through traditional econometric methods: First,use ADF test and GRANGER causality test to test the stability and econometric causality between the two series,and second,to verify that the series has stationarity Based on the VAR model,the impulse response diagram and variance decomposition were used to understand the magnitude of the interaction between Chinese cotton futures and spot goods,and the JOHANSEN cointegration test was carried out.The third is to establish a VECM model after all the above tests are passed,and use this model to see the impact of long-term and short-term shocks on the spot price of cotton futures.The fourth is to conduct serial autocorrelation test and ARCH effect test on the spot price of Chinese cotton futures and US cotton futures price.,The volatility effect of the US cotton futures market.The following empirical results are obtained: the first-order difference of the logarithm of Chinese cotton futures,spot prices and US futures prices is a stationary sequence,and the yield of Chinese cotton futures price is the Granger causality of the yield of Chinese cotton spot price.At the same time,there is a co-integration relationship between China’s cotton futures price yield and China’s cotton spot price yield.It is estimated by the VECM model that the cotton market has new information shocks,and the impact of price fluctuations in China’s cotton futures market on China’s cotton spot price.bigger.This shows that China’s futures price has a greater impact on China’s cotton spot price,and the fluctuation of cotton spot price has less impact on the price of cotton futures.After the three series passed the autocorrelation test and the ARCH effect test.Establishing the BEKK-GARCH model to obtain the estimated parameters,it is found that the US cotton futures market has a greater spillover effect on the Chinese cotton spot market,and the Chinese cotton futures market needs to improve the operating mechanism and align with the developed futures market.Based on the above analysis,this paper puts forward the following policy suggestions: First,establish a unified spot market and strengthen the infrastructure of the cotton industry;second,foster outstanding enterprises and introduce cotton subsidy policies;third,improve the laws,regulations and mechanisms of the futures market;fourth,improve the structure of the main investment entities,to encourage cotton enterprises to participate in hedging transactions.