Study On Dynamic Relationships Between Soybean Futures Price And Domestic Soybean Spot Price

With the development of the industrialization of soybean in our country，theprice of soybean in our country is gradually brought in line with internationalsoybean market. However, the price of international soybean market changesunpredictably, leading to the frequent fluctuation in spot price in the domesticsoybean market and improving the market risk of our soybean industrialization.Improving the efficiency of our soybean futures market and the price mechanism ofdomestic soybean spot market would be beneficial both to soybean producers andoperators to evade market risk and to improve the core competitiveness of enterprisesand also be conducive to the sustainable development of soybean and its relatedindustries. Therefore, analyzing the current situation of domestic soybean andsoybean futures market in China, establishing proper model for empirical analysis forgaining the quantitative analysis of the domestic soybean between spot and futuresmarkets and foreign soybean futures market’s long-term equilibrium relationship andshort-term causality relationship and volatility spillover effect between each otherand to summarizing the problems that existing in the soybean market of China andput forward the corresponding countermeasures and then disperse the spot price riskat home effectively are inevitable requirements for the industrialization andmarketization of domestic soybean to develop.Firstly, this paper analyzed present situation and the characteristics of domesticsoybean spot market, domestic soybean futures market with Japan and the UnitedStates. Secondly, based on the analysis of theory and empirical research of therelationship between them, this paper put forward three research hypotheses,including the long-run equilibrium relationship assumption,the casual relationshipassumption of price and volatility spillover effect assumption; this paper alsointroduce models of VEC and multivariate EGARCH, which were used in empiricalanalysis and expounded the basic principle of the models and explained the principle of both why we chose it and where the data came from. Again, according to theneeds of the empirical analysis, we did the co-integration test for the historical datathat we chose and discussed long-run equilibrium relationship among those threeand we take advantage of VEC model to analyze casual relationship of price amongthose three, after which we build multivariate EGARCH model to make analysis ofvolatility spillover and acquire the results of empirical analysis，and analyzing thereasons about the results of empirical analysis and find out the problem that existingin soybean futures market from our country and propose the correspondingimprovement measures.