Empirical Research On China’s Wheat Futures Market Price Discovery Function

China is a large agricultural country,the stability of agricultural product price is related to people’s life and social stability. Wheat is one of key grain varieties in our country,the price of wheat has important influence in the system of agricultural product prices. Although global wheat production is positive in recent years, China as the world’s largest producer and consumer of wheat,facing the problem that high protein wheat is in short supply. With the improvement of living standards, the demand for high-quality strong gluten wheat increased dramatically.The Chinese government attaches great importance to food safety and the role of futures market, The central file no. 1 continuous twelve years concerned about “agriculture, rural areas and farmers”,and put forward “the development of agricultural products futures trading”.Hedging and price discovery function of futures markets is two basic functions, but the core function is price discovery.Futures market is a constantly changing and developing markets,choosing a different time points and data,it will get different results.Great changes in China’s macroeconomic environment has occurred.Under the new background, The study of wheat futures price discovery function can enrich the agricultural product futures market related research,providing stock companies, producers, investors and regulators with the decision basis as well as enhance China’s wheat futures pricing power in the world.On the basis of consulting a large number of literature, this article has carried on the theoretical analysis and empirical analysis.The empirical analysis adopt high-quality strong gluten wheat futures week settlement price and the average price of the spot market,using methods of correlation analysis,unit root test,co-integration test, vector autoregressive model, granger causality test, error correction model as well as impulse response function and variance decomposition. drawing conclusions:(1)There exists correlation between wheat futures prices and spot prices.(2)Wheat futures and spot market prices have a long-term equilibrium relationship,and there is a short-term return equilibrium mechanism.(3)Wheat futures price is the Granger cause of wheat spot prices that is to say the wheat futures price has one-way leading role to the spot price.(4) Wheat futures market price plays a dominant role in price discovery. The empirical results show that the the price discovery function of wheat future market has worked,but not efficiently.Although Chinese wheat futures market price discovery function can play to some extent,because of the development of futures market in China started relatively late,compared with western developed countries there is still a gap in the field of futures. According to the above-mentioned conclusion,the thesis gives some advice such as improving the structure of futures trading participants,cultivating high-end and innovative future talents,comprehensive training education work and so on to further enhance the efficiency of Chinese wheat futures market price discovery function.