Empirical Research On The Degree Of Integration Between Domestic And Foreign Agricultural Future Market

China’s future marketshaveestablished more than20years and develop rapidly.Ourfutures markets play its role on hedging, price expectations, and other functions.The price offutures markets at home and abroad has become increasingly close contact. However, theresearch paper of China and foreign futures market integration degree is not much and lack ofnewmethods.This paper researches the soybean and corn futures of DCE, CBOT and TGE by thePBM model, semiparametric model and co-integration test, in order to investigate whetherthese future products with the market integration,the level of integration and how theintegration change.This paper found that the only the corn futures of CBOT and TGE show higher marketintegration degree through the state transition model. The other marketsdid not showsignificant market integration, but showed higherprobability of arbitrage spacestat.Semiparametric model reflected the sample interval dynamic market integration degree ofchange and the trend of the development of the market integration. In semiparametric model,only the corn futures market of CBOT and TGE showed a higher market integration degree,other market market integration degree very low even for zero, but in the sample interval, thestate of the market fluctuations very obvious. Through the cointegration analysis,wefound thethe corn and soybean futures of these three futures exchange were co-integration relationshipThe difference between model results reflect the characteristics of the model itself:cointegration method can only answer whether the market integration; PBM model can onlystatic measure the whole sample interval market integration degree; semiparametric modelcan dynamic reflects the degree of change and market integration trend.