Study On The Volatility & Efficiency Of Agricultural Commodities Futures Markets

China is a developing country with a great number of people, so agriculture has important role in the development of economy. In the construction of socialism market-oriented economy, the development of agricultural futures markets is essential. The character of the volatility of agricultural futures market, the relation between future price and spot price, and the volatility spillover between China and abroad is analyzed in this dissertation using the modern financial time series analysis method. The dissertation also evaluates the price discovery and international price-making efficiencies of agricultural futures markets, and gives advices on the development of futures markets in the end of the thesis.Chapter 1 describes the background, purpose and meaning of the thesis, and reviews the current research on agricultural futures price volatility and market efficiency of Chinese and foreign futures markets, and also gives the research method.Chapter 2 introduces the basic theory used in the research work that included the definition & relation of volatility and efficiency, and the modern time series analysis method. It also describes the characteristic of the futures price fluctuation of active contracts, and then determines the construction of time series of futures price.In chapter 3 in the paper, the history of agricultural futures markets, options markets, futures funds, and relevant futures exchange in China and abroad were introduced.Chapter 4 gives a thorough study on the characteristic of volatility of agricultural futures prices and futures returns. The basic statistics for the futures price and futures returns series includes autocorrelation, heteroskedasticity, etc. GARCH model implies the volatility character. Two methods were used to compare the volatility between Chinese and foreign futures markets.Chapter 5 is about price discovery efficiency of agricultural futures markets. It examines China agricultural futures markets efficiency using Johansen cointegration test, the results indicates that there are cointegration relations between futures prices and spot prices. This implies futures prices represent accurate predictor of spot prices. This chapter also investigates the price discovery function of wheat in Zhengzhou Commodity Exchange, results illustrate that futures prices perform price discovery function well and futures price play a dominant role.Chapter 6 is the information flow analysis between Chinese and foreign agricultural futures markets. The result is that CBOT soybean futures influenced DCE soybean futures price & volatility; CBOT wheat futures influenced ZCE wheat futures volatility. So, CBOT has a higher international price-making efficency.Chapter 7 researches the factors that influence the efficiency of agricultural futures markets. In the investor structure, futures funds are absent. The scope and the competence of futures companies are limited. The operation cost of the markets is high; the exchanges are more like a government institute rather than a company. There are few foreign investors in the futures markets.Chapter 8 is the advisory policies to promote the efficiency of agricultural futures markets. To promote more investor, include futures funds, participate the futures markets. To promotes the competence of futures companies. To list a lot of futures contracts, to reform the exchange to a"transaction provider"companies. To improve the internationalization of agricluteral commodity futures markets.