Study On Operating Performance Of China Agricultural Futures Market And The Upgrade Strategy

The performance of the futures market is a reflection of the quality of the futures market. It will influence whether the market functions can play actively and healthily, especially in the current economy of our country with profound structural adjustment. Its operating quality of the agricultural futures markets can effectively resolve the risk in the process of Chinese economic development, and increase the competitive ability of agricultural industry. Furthermore it can help to solve the "three rural issues".. Chinese agricultural futures market is still in a critical period of development, therefore, it is essential to understand the operation mechanism of the market, and make clear of the relevant issues. These research questions are critical for the healthy operation of corresponding market, and help to improve its performance and enhance the competitiveness of the market.Aim for the present situation, this paper takes the Chinese agricultural product futures market as the research object, examines its emergence and development process, and analyze its influence on the value and performance of a main participator-agricultural firms and try to find out the corresponding factors. We build models through horizontal and vertical comparison, analyze three perspectives, its volatility, liquidity and efficiency, to provide a comprehensive, system, and in-depth study on the operating situation of Chinese agricultural futures market. Based on the operation analysis, combined with a typical case analysis, in view of our country agricultural product futures market operation situation, we put forward the countermeasures to enhance the performance of China’s agricultural products futures market, especially on the microstructure (market participation, variety design), environment (transaction cost, transaction institution, and transaction types) and macro environment (spot market, macroeconomic policy, and financial market). Our main research work and conclusions are as follows:(1) It’s necessary to enhance the performance of the agricultural product futures market at this stage, and motivate the basic function of the futures market of agricultural products, in order to promote agricultural products futures tools as a major tool for market participants to avoid risks.The use of panel model for empirical research in Chinese Agricultural listing corporation who take advantage of futures tools found, there is no obvious relationship related to agricultural futures tools application and firm value and performance, but it will influence enterprise performance (such as ROA) with a certain role. The empirical analysis also found that, in the177listed enterprises in our country, in recent years the number of firms who use of futures risk management tools is less than40, far below the world average level of83.3%. Based on motivation theory, because there is no obvious role of the use of futures tool on the value and performance of Chinese agricultural enterprises, it will affected the activities of market participator who applied futures tool, which leads to the deficiency of market participators, and limits their impact on market performance and function.(2) From the volatility of some agricultural futures, their operational performance has improved, but the overall performance of the market need to be strengthened.Through the horizontal comparative analysis, CBOT as a mature futures market, its market play actively in certain volatility variation, its operation is less likely change to extreme, so its operation of the market is relatively stable. But in our country agricultural product futures market, there is no significant difference among different futures types, there is no significant difference among wheat, sugar, cotton, soybean, soybean meal, corn and soybean oil futures varieties. But on the whole there is significant difference between Chinese agricultural products, the futures market of agricultural products in all varieties significantly weaker than the corresponding operation in the CBOT species, indicating that Chinese agricultural products market is not mature enough, and need to enhance its activation. In addition, there are long memory, leverage and maturity effect existing in our country’s agricultural product futures market fluctuations, and also affected by macro economic policies.(3) Chinese agricultural futures market liquidity level is still relatively high, but it is not stable enough.Horizontal mobility between Chinese agricultural futures market and the Chicago futures market comparative analysis found that the level of Chinese agricultural futures market liquidity is still relatively high. However, longitudinal analysis through different stages of development of Chinese agricultural futures market liquidity, liquidity will fluctuate, it reflects China’s agricultural futures market operation quality is not in a stable situation. There is no difference in the overall liquidity when prices rise and fall. In addition, analysis of the level of liquidity in the market from the volatility of the trading volume on the basis of daily trading volume, found that the changes on the Chicago Board of Trade wheat futures market price fluctuations had no significant effect, indicating that the Chicago futures market can play as a mature futures market, the market does have a very good market liquidity. The daily volume change of Sugar of Chinese Zhengzhou Commodity Exchange and soybean meal of the Dalian Commodity Exchange have certain negative impact on the futures market price fluctuations, it also shows that Chinese futures market running performance should be improved.(4) Agricultural futures market is not weak efficiency, but some varieties of the futures market has a price discovery function, there is strong volatility spillover effect between the same category futures.Firstly,we apply unit root test, sequence correlation test and runs test to analysis Chinese agricultural product futures market, three kinds of test results shows that price fluctuations are not in accord with random walk process, the agricultural product futures market has not reached the weak efficiency. Secondly, through the analysis of wheat, sugar, cotton, rice, soybean, soybean meal,we found, between futures price and spot market price of early indica rice, wheat, soybean and corn without induce. While the sugar and soybean are a one-way causal relationship; futures price induce spot price significant. Cotton futures price and spot price have a mutual guidance effect, namely the bi-directional leading relationship, and cotton spot price is slightly larger than the influence of cotton futures influence. Finally, we conducts the research to the same category Futures volatility spillover effect among soybean oil, rapeseed oil and palm oil,found soybean oil futures and oil futures two market volatility spillover conductivity is strong; soybean oil and palm oil both have greater volatility spillover effect to each other; there is significant volatility spillover effect between the palm oil futures and oil futures.(5) The development of "futures agriculture", cultivate futures market participation, strengthen market trading products innovation, improve the exchange services, to enhance the competitiveness by improving the performance of futures market.Based on the empirical analysis from the perspective of futures market participators of Chinese agricultural product futures, the agricultural enterprises, and analysis of macroeconomic policies on the futures markets. Combined with a typical case analysis, we proposed to improve the futures field measures of performance, vigorously develop the "futures agriculture", make the agricultural product futures market deep into all aspects of agricultural production, actively nurture and develop futures market participation, strengthen market innovation, improve the service functions, improve the competitiveness of the exchange futures company, and actively provide policy support and system guarantee.The main innovation points:(1) Research perspectives. Firstly, previous research on a specific varieties of agricultural futures market, mostly focus on a specific question (volatility, liquidity or effectiveness), but there is seldom discussed the performance of the agricultural product futures market. Target on Chinese agricultural product futures market, systematic and comprehensive analysis of the performance of different varieties is necessary, it provided a reference for the measurement of Chinese agricultural products futures operation quality. Secondly, the past volatility spillover market studies mainly focus on the spillover effect of domestic and foreign markets and the spillover effect, especially the volatility spillover effect in the same region according to the varieties of the same future types, mostly discussed oil futures. We investigate volatility spillover effect between them, to provide reference for the similar futures varieties. Once again, previous studies seldom discuss agricultural firms who apply futures to avoid risk, we try to analysis from agriculture-related enterprises angle, explore the influence of the use of futures on enterprise value. Finally, the research of macro economic policies for the futures market, mostly from the qualitative perspective, this paper selects the macroeconomic fiscal policy indicators and indicators of monetary policy, constructing quantitative model, empirically analysis of the macroeconomic impact on Chinese agricultural product futures market.(2) Research methods. This paper focuses on the main question of operating performance of Chinese agricultural product futures market, this research try to apply comprehensive methods related to economics, enterprise value theory, motivation theory, price volatility theory, flow theory, efficient market theory, to integrate them intro framework and take several empirical analysis methods. This interdisciplinary, diversified method related to futures studies is extremely rare in the previous future research.