Interaction Of The Soybean Futures And Spot Prices Both Home And Abroad Under The Influence Of Import Shock

China is the fourth-largest soybean producer and also the largest soybean importer andconsumer in the world. With the improvement of living standards of people, the growingconsumption of oil and protein stimulates the demand for soybean year by year. Since1995,China became a net importer of soybeans and the quantity of imports had expandedeach year. According to customs statistics, in2010China’s soybean imports had been upto54.787million tons, accounting for80%of the total quantity of domestic consumption.One one hand, a large number of soybean imports have met the huge gap of domesticconsumption, but on the other hand it have a negative impact on the local production andcultivation of soybeans. With the shock of imports, to what extent do our soybean futuresand spot markets have been influenced? How about the efficiency of out soybean futuresmarket and whether it reflects the domestic supply and demand effectively? All thesequestions will be found out in this paper.The thesis collects a large amount of market data like the number of soybeanimports and the soybean futures prices both home and abroad, domestic spot prices ofsoybean, soybean meal and soybean oil and etc. It demonstrate that the imported soybeanhave had a deterrent effects on domestic soybean prices for a long time by cost accountingof the two kind companies in which one chooses imported soybean and the other usesdomestic soybean. Then the author applies the methods of Adaptive Expectations model,Vector Autoregressive, the Impulse Response Function, Variance Decomposition, ErrorCorrection model, Granger Causality Test and etc to do a deep research on thetransmission of information between China and the U.S. soybean futures markets, the roleof our DCE soybean futures market playing in price discovery and the interaction betweenimport changes, soybean futures prices both home and abroad and domestic spot prices.The results indicate that:①DCE soybean futures price changes have a significant effecton our soybean imports, but CBOT soybean futures price changes don’t. Compared withthe CBOT market, our DCE market reflects domestic soybean supply and demandconditions more effectively;②Conversely, increasing soybean imports play a negativepressure effect on our futures and spot price but a favorable effect on CBOT futures prices;③China DCE soybean futures prices lead the CBOT soybean futures prices and domesticspot price, information is mainly flows from domestic futures market to U.S. CBOTmarket and domestic spot market and DCE has to a certain degree played the role of pricediscovery for domestic soybean market.