The Research On The Price Discovery And Risk Aversion Function Of Chinese Commodity Futures Markets In The Context Of The Financial Crisis

With the development of the world economy,futures market plays an important role in the world economy.The experiences of the United States and other developed countries spells out that futures market has been the obbligato composition of modern economic system,futures market is the important tool of price discovery and risk aversion,it plays the important role that other market can’t replace.The core functions of futures market are price discovery and risk aversion,if we can use the core functions reasonably,the futures market can stabilize the price of agricultural product,enhance the capability of national macro control,conduct the agricultural production operator produce and sell the agricultural products scientifically,reduce the market risk that comes from price fluctuation,ensure the steady growth of revenue.In that way,do the price discovery function and risk aversion function of Chinese commodity futures market expresse well? Specifically,do the Chinese commodity futures price guide the spot price?How about the guidance between Chinese commodity futures market and international main commodity futures market?Can the participant of Chinese commodity futures market reduce risk through the futures market?The financial crisis in 2008 brings about the tremendous impact on the world economy,includes the commodity futures market.How do the financial crisis effect the price discovery function and risk aversion function of Chinese commodity futures market?These questions are worth further considering.The research aims at the price discovery function and risk aversion function of Chinese commodity futures market in the context of financial crisis.First,the research analyses the guidance of Chinese commodity futures market and Chicago commodity futures market with the ADF unit root test,vector autoregressive, cointegration test,error correction model,Granger causality test,impulse response and variance decomposion. Secondly,the research analyses the guidance of Chinese commodity futures market and spot market.Thirdly,the research calculates the hedging ratio and performance of Chinese commodity futures market in the context of financial crisis to analyse the risk aversion function.The result of the guidance of Chinese commodity futures market and Chicago commodity futures market indicates that:For soybean and soybean meal,the financial crisis enhances the guidance degree of Chicago commodity futures market,while reduces the guidance degree of Chinese commodity futures market,it takes the more important role of price discovery function from Chinese commodity futures market to Chicago futures market;For soybean oil,the financial crisis doesn’t take remarkable change of the guidance of Chinese futures market and Chicago futures market,Chinese futures market plays the more important role in the price discovery function both before and after financial crisis.The result of the guidance of Chinese futures market and spot market indicates that:For soybean and soybean meal,the financial crisis reduces the guidance degree of Chinese futures market,while enhances the guidance degree of Chinese spot market,but the condition that the Chinese futures market plays the more important role in the price discovery function is not changed;For soybean oil,the financial crisis doesn’t take remarkable change of the guidance of Chinese futures market and spot market,Chinese futures market plays the more important role in the price discovery function both before and after financial crisis.The result of the risk aversion function of Chinese commodity futures market in the context of financial crisis indicates that:the financial crisis makes the Chinese commodity futures market’s hedging condition worse,makes the hedging performance of Chinese commodity futures market increased,that is the risk aversion function of Chinese commodity futures market turn to be enhanced after financial crisis.