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Soybean Futures Markets in China Empirical Analysis

1% confidence level variables are rejected there is no cointegration relationship between the assumption that soybean meal price and the price of long-term equilibrium relationship between the futures price is the spot price of the unbiased estimator. 2.3Granger causality lag 2, the results shown in Table 1, there is only soybean meal futures prices to spot prices from the one-way causality. The futures price is the independent variable, dependent variable is the spot price, futures prices lead spot prices, the spot price of the futures price does not have a guiding role. Table 1Granger causality test results Note: significance level for the o052.4Garbadesilber model in Table 2. - F9 ~, greater than zero and statistically significant, indicating that futures prices on the spot price has a guiding role; also greater than zero but statistically not significant, indicating that the spot price of the futures price does not have a guiding role, which is consistent with the conclusions of Granger causality test . Computing / (+) value of 0.834, indicating that the Chinese Journal of Animal Science, 41, 2005 No. 6 soybean meal futures prices influence far exceeds its stock price impact,[link widoczny dla zalogowanych], price discovery function of futures prices mainly by the decision. Table 2Garbade-Silber 3 Parameter estimation of functional assessment of soybean meal futures market hedging 3.1 Basis of this select m0211, m0307, m0401, m0405 Basis of the four contracts, the first test Chaji poor volatility. As can be seen from Table 3, the basis is less than the spot price of the standard deviation in Table 3 Basis of the table Note: The difference in the front-month contract delivery month basis, the average standard deviation of basis shows that the volatility of the four contracts are Basis less than the spot price volatility, especially m0401 and m0405's basis risk is smaller than the spot risk, hedging effectiveness values above 0.7, indicating that soybean meal futures hedging function with the conditions of play. Second, differences in the delivery of test Chaji is convergent. Calculated that the base of four contracts for the majority of the time difference between negative and significant in the delivery of both converge. According to DCE to provide information on the cost of soybean meal futures contract is about 20 to 40 yuan / t, including shipping 3 to 20 yuan / t, delivery charge 1 yuan / t,[link widoczny dla zalogowanych], storage and loss costs 0.5 yuan / (t �� d). The result is a meal delivery month contracts with delivery costs of basis similar to the front-month contract only m0401 Basis large hedge positions increases the risk. 3.2 is dropped from the analysis of basis can be seen that soybean meal futures hedging function already has the conditions to play, but the need to examine the liquidity of the futures market, starting with the point of view of the current ratio, calculated from 1996 -2 000 years, the ratio of the current downward trend in soybean meal,[link widoczny dla zalogowanych], but the rapid increase since 2001, about the current value in the l4, shows that the Chinese soybean futures market is in rapid development, to enhance mobility faster. 3.3 China's soybean futures trading volume and its distribution volume in 1996 to 026 million t grow to 299 million in 2003, t, scale trading, market liquidity, a certain increase. Incremental volume maintained a 107.07% annual average growth rate, the futures market to enhance the level of liquidity fast. But the Chicago Board of Trade soybean futures trading volume is much higher than the absolute value of China, China's soybean futures market that there is great potential for development. Prior to 2001 China's soybean meal futures trading volume less than 5% of the United States, the current volume accounts for more than 40% of U.S. volume. From the growth point of view, China is much higher than the U.S.,[link widoczny dla zalogowanych], but the overall fluctuations in the U.S. trading volume is relatively small, relatively stable market. This paper examines the four soybean meal futures contracts are more active, the relative volume ratio (of the contract volume and average volume ratio of the species) was higher, particularly in larger volume contracts m0401 and m0405, the four contracts are certain pre-volume, indicating the higher mobility of the contract, who can find a suitable hedge counterparty to meet the hedging requirements. 4 Conclusion The function of the futures market,[link widoczny dla zalogowanych], based on the theory constructed a series of evaluation index system, the Chinese soybean futures market price discovery and hedging the basic functioning of the two situations are analyzed. The basic conclusion: China's soybean futures market price signals have a high legitimacy and effectiveness, to play better price discovery and hedging functions of the futures market operations more effective. Although compared with the U.S. soybean futures market in China is in rapid growth stage, their functionalities are yet to be further improved, but has for the Chinese soybean futures market, a good foundation for further development, and can basically meet the operators of soybean and related products hedge to avoid the purpose of spot price volatility.
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