Research On The Risk Management About Prices Volatility Of Soybean Futures

China's agricultural futures market starts late but develops rapidly. From the perspective of the transaction scale, it has been ranked in the world. But many problems have also been exposed in the development process, in which price volatility risk is particularly prominent in recent years. As stated by Han Story, "When tiaqbie (a kind of rice) is too expensive, the people suffered, while when tiaqbie is too cheap, peasants suffered. It will be riot when people's interests get harmed, while it leads to poverty when peasants' interests get harmed"Soybean is one of Chinese agricultural products with the highest degree of marketization and open relatively early. Integration of Chinese soybean market and the international soybean market is good. Under the background that domestic soybeans are continually shocked by foreign genetically modified soybeans and prices of domestic soybean volatile fiercely, study the price volatility risk management of soybean futures may provide managerial experience of price volatility risk for other agricultural products.The paper develops around two questions:How to effectively prevent and resolve price volatility risks in agricultural futures markets? How to create risk prevention and resolve mechanisms of price volatility in compliance with operating law of international futures market and the actual situation of China's futures market? Combining agricultural economics, the stock theory, the new system economic with modern risk management theory, the paper systematically studies price volatile risks of Chinese agricultural futures according to research paradigm of exploring the unknown filed by verifying the given information. From the perspective of risk management and according to logical relation among risk measures, risk identification and risk control, the paper empirically studies the size and incentive of price volatility risk of soybean 1, meal and oil as well as how to use margin system to better control price volatility risk by using a more precise method of quantitative analysis.The paper is divided into seven chapters. Except the beginning and the last chapters, the remaining chapters can be separate chapters but all unified in the basic logic framework of risk management.Chapter I is introduction. From the reality of market operation of Chinese soybean futures, the chapter proposes involved difficult problems according to research objectives. Then, it designs the general analytical framework on the basis of literature review of domestic and international researches. It also defines the scope of the study. It summarizes and subdivides the scientific problems to be solved and gives out relevant assumptions and models needed to verify the assumptions. The possible innovation and shortcomings are revealed and the problems needed to be further solved are proposed at last.Chapterâ…¡is characteristics research about price behavior of soybean futures. It chooses representative soybean futures and gives data used in the study. On the basis of describing statistical characteristics of soybean futures prices and returns, it studies the relationship between investors'transaction behavior and price volatility by using multi-scale VAR model and multi-scale variance analysis, and then uses V/S(2), R/S(2) and fractal dimension theory to study the fractal characteristics in soybean futures market. Finally, it analyzes the reasons caused price volatility and elicited price volatility risk of soybean futures. The study shows that price and returns series of soybean futures are not subject to normal distribution and there is obvious multi-scale causal relation between transaction behavior and price volatility. In addition, market has obvious non-linear and long-term memory characteristics. Main factors elicited price volatility risk of soybean futures can be summarized as internal factors in futures market such as information and speculative transactions, some external factors such as production, demand, stock, trade and economic environment are involved.Chapterâ…¢is tests of market efficiency of soybean futures, which uses two factors variance analysis of non-equilibrium data and event analysis method based on market model respectively to test calendar effect and event effect in soybean futures market. Results show that Chinese soybean futures market is not efficient market, which provides support for risk management research of price volatility, namely risk can measure, identify and control, thus, defers to "experience" to manage risk is feasible.Chapterâ…£is the measurement and comparison of price volatility of soybean futures. It establishes models such as HS, MC, GARCH, IGARCH, TGARCH, EGARCH, PARCH, CARCH and ACARCH for soybean futures market. By comparing these models' misjudgment rate while measure the left and right tail risks and comparing the coverage rate of the extremum of the left and right tail risks, thus discovers the model has better effect to measure risks. The chapter also analyzes the main factors elicited price volatility risk in soybean futures market. Results show that under reasonable distribution assumptions such as the t distribution, parametric method for risk extremum coverage is better than non-parametric method, and large samples can improve the risk coverage rate of these parametric and non-parametric methods and reduce the misjudgment rate. The risk coverage rate of each method in the right tail is higher than in the left tail, that is to say, price volatility risks in soybean futures market are biased, and risk in the left tail is higher than that in the right tail. Chapterâ…¤is international incentive and recognition of price volatility risk of soybean futures. Start with international soybean prices (CIF US Gulf, FOB Paranaga BRZ and FOB Up River ARG), international petroleum futures prices (NYMEX crude oil futures prices) and the appreciation of the Yuan against the U.S. dollar, the chapter analyzes the international incentive of price volatility risk of soybean futures. In addition, it uses quantile modeling theory to set up CAViaR-X model and empirically study the influence of international oil prices and the exchange rate of RMB on the left and right tail risks of price volatility. Results show that there is bidirectional causal relation between the domestic soybean spot price and the futures price. CIF US Gulf and FOB Paranaga BRZ have guiding function on domestic soybean spot price. There are mutual guiding function between CIF US Gulf and domestic soybean futures price. FOB Paranaga BRZ has guiding function on domestic soybean futures price, but there are mutual guiding function between FOB Up River ARG and domestic soybean futures price. Both petroleum prices and exchange rate fluctuations can induce price volatility risk of domestic soybean futures, and risks induced by the two have the same feature, that is, risk in the left tail is higher than that in the right tail.Chapterâ…¥is improvement of risk margin institution of soybean futures based on market efficiency. The chapter evaluates margin system in soybean futures market from the three aspects of the effects of risk coverage, relationship between margin and risk, and the influence of margin on price volatility. It compares strengths and weaknesses of margin system in the Mainland of Chinese futures market with the mature and emerging futures markets. On the basis of risk measurement, dynamic margin model M-IGARCH based on multi-scale theory is proposed. Results show, that linear correlation between margin and price volatility risk is getting higher and higher with the increase of volatility risk. But the change of margin rate has not played a good role in inhibiting the risk of price volatility and margin system is not sensitive to price limit. Existing margin system considers more about the stable of market at the expense of market efficiency, but using dynamic margin model M-IGARCH to determine the level of risk margin can ensure market stability but also improve service efficiency of capital.Chapterâ…¦is the conclusion and countermeasures. The main research results are concluded. And thereby puts forward corresponding countermeasures from the four aspects of building effective market, innovating risk management technology, dealing with international risk and improving risk margin system.