The Empirical Research On The Functions Of Agriculture Futures Market Of China

The function of futures market shows in two aspects: price discovery and risk transfermation. price discovery plays a core role, which is the existence reason of the futures market. Whether risk transfermation function can play or not is also determined by price discovery function. The players in the futures market focus on the function of risk transfermation. so, research on the function of China's futures market is of great significance for the development of China's futures market.Agricultural products futures contract is the most active contract in China, since the listing of the corn futures contract in September 2004,it has become the most active futures contract of agricultural products in China. Therefore, this paper attempts to take the corn futures for example, analysis for the price discovery function and the risk transfermation function by theory and empirical methods. This paper is aimed at solving two problems: first, to search for the price discovery function and risk transfermation function of China's agricultural futures market. second, how to promote China's agricultural futures markets into full play.In the first part, we first theoretically defined price discovery and risk transfermation, secondly, we briefly recalled the previous research literature of the two basic functions .The second part is the empirical analysis mainly based on corn futures as an example. We selected a total of more than 1,000 data from September 2004 to March 2007, The empirical analysis results show: since 2004, the price discovery function of corn futures plays well, within four months ahead of the futures prices due to a certain spot price forecast, and more than four months ahead of time, the futures prices and spot prices has not exist a stable long-term relationship. The risk transfermation function is not premise well, but the changes of basis sequence is more smooth than changes of the spot price.In the third part,a summary of the empirical results is showed firstly. According to the empirical analysis, we find some deficiencies in the functioning of agricultural futures markets, and the lack of response from the listed species, delivery system, spot market environment and many other aspects. At last, we give some policy recommendations to the futures market and the spot market.