The Research On China's Corn Futures Market Microstrueture And The Information Spillover Effects

Market Information Spillover Effect is that the market information has Spillover effectwhich will influence relating market prices. Market information spillover effect reflects therelationship of the virtual economy and the virtual economy, the virtual economy and theentity economy, the entity economy and the entity economy. The market informationspillover effects are influenced by microscopic structure. Researching of the agriculturalfutures market microstructure and market information spillover effects are of theoretical andpractical significance for perfecting agricultural futures market regulations and improving theprice discovery and risk aversion function of the agricultural futures market and safeguardingthe financial market safety and fighting for the agricultural products pricing power.Based onthe study of influence of market microstructure on the information spillover effect, the thesisstudies the China's corn futures market microstructure and the market information effectsbetween the China's corn futures market relevant markets that including China's corn futuresmarket and U.S. corn futures market information spillover effect, China's corn futures marketand China's corn spot market information spillover effect and China's corn futures marketspillover effect and China's corn futures market and the U.S. corn futures market informationspillover effect.Market information spillover effects are the important phenomena of the marketespecially the financial market which reflect the efficiency of information processing and theprice forming of market. Market microstructures decide the market microstructurecharacteristics and market microstructure characteristics affect market information spillovereffects. This is a basic viewpoint of the thesis. The thesis researches the market informationspillover effects from the market microstructure theory angle and divides market informationinto public information and private information and studies the way and the path that themarket information affects the agriculture product prices, especially uses the bayesianlearning model to analyze the way and path private information affects the agriculture productprices. Further, the thesis put forward the market microscopic structure characteristics theaffect the market information effects which including relating degree between market andmarket transparency and market liquidity and the market transaction cost. Furthermore, thepaper use the game theory to construct a two stage incomplete information dynamic modelstudies the role of the market microstructure characteristics in the process of the marketinformation spillover and testifies the influence of the market microstructure characteristicson the information spillover effects.The thesis researches the China's corn futures market microstructure. According the viewof the Institutional Economics, the trading behavior of traders is the product of the marketsystem. The paper focuses on the influence of China's corn futures market related system onthe market characteristics which including trading mechanism that are the order-driventrading system and offer drive trading system, information disclosure system that are openinformation disclosure system and large public report system and risk early warning system and risk management system that are price limit system and limit warehouse system, forcedunwind system and earnest money system.The paper uses the econometric time sequence modeling method studies informationspillover effects of China's corn futures market and the relevant market, namely, the U.S.cornfutures market and China's corn spot market and U.S. corn spot market. In detail, the thesisuses the Janhenson cointegration test and the Granger causality test studies China's cornfutures and U.S. corn futures price and absolute returns and rate of return and China's cornspot price and absolute returns and rate of return and U.S. corn spot price and absolute returnsand rate of return spillover effects. Study of China's corn futures market and U.S. corn futuresmarket information spillover effects can compare our country agricultural futures market andparallel market information processing and price discovery efficiency; study of China's cornfuture market and China's corn spot market information spillover effects can investigate Chinaagricultural futures market price discovery function validity in domestic; study of China'scorn futures market and U.S. corn spot market information spillover effects can find the roleof the China's agricultural products future market in international agricultural commoditiesspot price forming process.In the study process of information spillover effects of China's corn futures market andU.S. corn futures market, the long-term equilibrium relationship between the China's cornfutures market and American corn futures market price, absolute returns and the the rate ofreturn be found and it shows that U.S. corn futures absolute returns and the the rate of returnare the Granger reasons of China's corn futures market absolute returns and the the rate ofreturn which depicts that the United States futures market information processing is moreefficiency than China's futures market. In the study process of information spillover effects ofChina's corn futures market and China's corn spot market, the long-term equilibriumrelationship between the China's corn futures market and China's corn spot market price,absolute returns and the the rate of return be found and it shows that China's corn futureabsolute returns and the the rate of return are the Granger reasons of China's corn spot marketabsolute returns and the the rate of return which depicts that the China's corn future markethas the price discovery function in domestic. In the study process of information spillovereffects of China's corn futures market and U.S. corn spot market, the long-term equilibriumrelationship between the China's corn futures market and American corn spot market price,absolute returns and the the rate of return be found and no apparent causality be foundbetween the China's corn futures market absolute returns and the the rate of return and U.S.corn spot absolute returns and the the rate of return and which depicts that China's cornfutures market price discovery function in international agricultural commodities spot marketneed to be improved. The paper further analyses the reasons of the information spillovereffects from the perspective of the differences of the market microscopic structure.