An Empirical Study On Price Linkages Of Pig And Corn,Soybean Meal Futures In China

In recent years,hog prices have fluctuated dramatically,not only affecting the daily lives of our residents,but also undermining the national economy.In order to promote better development of the hog industries,China launched hog futures on 8 January 2021,which will perform the basic functions of price discovery and hedging.As corn and soybean meal are important elements in the upstream part of the hog industry chain,studying the price correlation between hog,corn and soybean meal futures is therefore conducive to regulating hog production in advance,reducing the losses of hog breeding entities,enhancing the benign development of the hog industry and then promoting the high-quality development of China’s economy.This paper takes hog,corn and soybean meal futures as the research object and selects hog,corn and soybean meal futures prices as variables for empirical analysis.The paper is divided into six chapters.Chapter 1 introduces its research backgrounds and significance,a literature review of price linkage theory and methodology as well as the research methodologies and framework of the paper.Chapter 2 introduces the theoretical basis and empirical model of the paper.The middle three chapters are the core of this paper,of which Chapter 3 provides a comprehensive analysis of the current price theory of hogs,corn and soybean meal in China.Chapter 4 analyses the operation of the futures market for hogs,corn and soybean meal in China.Chapter 5,based on the price transmission logics of the three goods an features,applys the DCC-GARCH model to empirically investigate the dynamic correlations between hog,corn and soybean meal futures.Firstly,a series of fundamental tests are conducted and the ARCH effect is verified to exist.Secondly,three GARCH family models(GARCH,TGARCH and EGARCH)are invoked to model the futures prices of hogs,corn and soybean meal,and the results reflect that the TGARCH model yields the best results for the residual series.Finally,DCC-GARCH models of hog features and corn,soybean meal futures prices are developed to analyse the dynamic correlation between hog futures and corn,soybean meal futures respectively.The results show that there is a strong positive correlation between hog futures and corn,soybean meal futures.At the same time,hog,corn and soybean meal futures prices are all volatile and aggregated,and the impact of this volatility exists consistently,increasing the risk in the upstream of the chain.Once affected by unexpected events at home and abroad,the dynamic correlation between the three will be exacerbated.There is a two-way transmission process between hog futures and corn,soybean meal futures.Based on the above research findings,this paper makes the following recommendations: 1.optimize the composition of pig feed to reduce costs and risks;2.enhance the supply of domestic soybeans,optimize soybean import channels and stabilize corn production;3.pay more attention to the futures market and improve the flow of information in the pig futures market;4.use "insurance + futures" to hedge risks and stabilize operating profits.