China Corn Futures Market Price Discovery Function Of Empirical Research

Price discovery function of futures markets function is embodied in the core,but also the existence and development of futures market value,while the effect of its decision whether the risk transfer function of a good play.China's corn price discovery function of futures markets as a research topic,the purpose of verification of China's corn futures market,futures prices have a price discovery function of futures price on the spot with a leading role in China's corn and then to measure the functioning of the futures market results,the promotion of Corn active and steady development of futures markets is important.In this paper,with corn futures closing price,the use of correlation analysis,trend maps and research methods arbitrage test.First of all, using the method of correlation analysis,calculated for each futures contract price and the spot price of the correlation coefficient;On this basis,to observation of more intuitively for each contract,respectively, draw on the 17 futures contract prices and spot prices charts to analyze the trend of their prices;further,the use of GS models,respectively, for each contract to carry out arbitrage inspection,a detailed analysis of different times and in different corn futures contract price discovery function of the situation.Through the corn futures settlement price,the use of correlation coefficient,cointegration tests,Granger causality test and the GS model and other methods of China's corn futures market, the functioning of quantitative analysis carried out on the corn futures market efficiency and make objective and fair evaluation.The results show that:first,from the same year the three parameter values,and performance,the contract in 2007 has emerged a good law,and in 2005 and 2006 on the performance of the contract is more confusion on the first two In the futures market to stabilize,the contract from the beginning of 2007,China's corn futures market has been steady development; Second,futures contracts in 2007 than the previous two years have a good performance,the futures market year after year to enhance the price discovery function of futures the market's price discovery function in a dominant position;Third,in order to play a settlement price of futures prices as an example more of the regulating role of the spot market;Fourth, China's corn futures market has been gradually moving towards maturity, the Government,enterprises and individuals to play macro-adjustment function,the development of decision-making and the role of an important reference.China is a large agricultural country,the importance of corn futures, corn futures markets play a very good feature of government macroeconomic policies can provide a very good price signals to producers,consumers and traders to hedge risks has become a good role At the same time,China's grain security and stability it is also of great significance.