The Study Of China's Soybean Futures Market On Pricing Functional Characteristics And Hedging Strategy

Since 1995, China has risen her dependence on soybean import, and gradually lost their pricing right. In 2004, China's entire soybean industry had been turn down by foreign capital. To the domestic enterprises, because not only lack of understanding for the fact that international price of soybean in CBOT is manipulated by International Fund, but also lack of corresponding preparations for hedging in futures market. History is repeating itself, the whole industry of risk that exposed in 2004 still exist at present. The domestic enterprises urgent need further understanding of the pricing characteristics of soybean futures market and the mechanism of hedging function. The thesis is focus on this issue, firstly study the characteristics of prices movements and pricing mechanism, and then verify the conclusion by quantitative methods. Based on that, clarify the pricing functional characteristics. And then analyze external factors that impact of pricing function. And finally provide the basic ideas and strategy advice focus on the problem that how to hedging in futures market for soybean enterprises.Research methods in the thesis combined with the application of qualitative and quantitative. The main innovation and characteristic of the thesis are in the following two points: First, Study China's soybean market issue from the perspective of the pricing function and take the research idea of combining with cash market and futures market together. Break the research model that only focus on a single market in the existing literature. Second, make the analysis of the pricing functional characteristics impressive. And it is the first time to put the study of soybean price of long-term trends and experience of hedging together.The main research results as follows: International Fund take the advantage of international trade pricing system under basis trade to manipulate the soybean price of CBOT, lead to the situation that China can not achieve the pricing function of soybean market. Thereby China's futures markets subject to U.S.A. The main outside factors that affecting the pricing function of soybean market in China are government policy and solutions, exchange rate of dollar, energy crisis, disastrous weather and outbreaks of diseases. How to hedging in futures market focusing on soybean cash enterprises(esp.oil plant), suggestion of the thesis as follows: Adjust the pricing of raw materials and products and the time of pricing to the same. Lock the spread of different market that have different pricing system. Avoid inventory which beyond normal levels run out the times of the present month of futures market. Take advantage of spread that can make risk-free arbitrage and cross-commodity arbitrage in order to optimize the hedging effect.