The Analysis Of The Effectiveness Of Chinese Soybean Futures Market

Normative and proper Futures markets are really needed in mature socialistic market economy. Constant spot market, Price discovery and Price risk hedging can only be achieved in mature and effective futures markets. Based on effective market theory, this article uses demonstration analysis and contrast method. By analyzing the distribution and volatility of the return rates of Chinese soybean futures, it has been found that there exists the ARCH effect in the return time series. Through fitting and statistic test, the GARCH(1, 1) model shows that the fluctuations of the soybean futures markets have great persistence. By the GARCH(1, 1) model, we verify that the three stages of the Chinese soybean futures markets do not reach the stage of weak market efficiency until now, which proves to be of high risk. Meanwhile, through comparing the efficiency of the three stages of Chinese soybean futures markets, it has been found the efficiency of Chinese soybean futures markets has been improved a lot. In the final chapter, the efficiency of the Chinese futures markets have been thoroughly analyzed and some specific approaches have been put forward, which intends to provide the government with some helpful suggestions for making policy of the normative development of the commodity futures markets.