An Empirical Study On The Linkage Relationship Of Soybean Futures Market Price Between Home And Abroad

With the improvement of people’s living standards, China’s demand for soybean growing, The import volume of soybean appear a huge increase, from 58 million tons in 1996 and gradually rose to 7140.31 million tons in 2015, The growth of import volume was nearly 123 times. The domestic demand is growing, while the domestic soybean supply is relatively stable without increasing. The share of domestic soybean supply continues to decline from the initial of 92% in 2015 to 19% in 1996. China’s soybean import and export pattern has undergone a fundamental change, the country gradually transformed into a net importer of the world’s largest soybean importer. In addition international soybean price volatility will continue, so if you can better grasp the linkage effect, change trend of the international soybean price, and the relationship of each other, to explore the path to becoming a center of international soybean prices, which for the development of China’s soybean industry is very useful.In order to grasp the linkage effect of international soybean futures prices, according to the space market integration theory and no arbitrage equilibrium theory, information flows and volatility spillover effect theory, the application of EG two-step co integration test and JJ co integration test is to know whether there exist integration, common market information and the consistent trend of soybean futures price. Establishing VEC model and Granger causality test which is on the base of VEC model is to test the relationship between the international soybean futures market. Finally, in order to know how does the specific market information exchange between the three futures markets, this paper uses the impulse response function and variance decomposition method. what is more, all tests above is based on the whole period sample data. In addition, in order to analyse the dynamic changes of the international influence of China’s soybean futures market, the whole period sample data according to special events outbreak(the 2008 financial crisis) as the time node has divided into two time piece sample, cointegration test and causality test, variance decomposition and the impulse response test are used on the two sub samples separately.The research results and innovations in this paper are as follows:(1)Integration relationship exist between international soybean futures market, relevant market information can circulate fast between the international soybean futures market. The efficiency of three major international soybean futures market is very high, and China is one of important members of the international soybean futures market system.(2) The U.S. soybean futures market has been dominated the formation of international soybean futures price, China and Japan soybean futures market are still in a passive situation.(3) Although U.S. soybean futures market has been in possession of dominance in the formation of international soybean futures prices, but the soybean futures market position of China and Japan, with the evolution of time, have increased gradually. China has not only the recipients of the soybean futures prices, but also owing a dominant force on the formation of soybean futures price.The share of these international and domestic soybean futures, the relationship of guiding between each other and with the time evolution, the variation case of the information share and guiding relationship is beneficial to the analysis of China’s soybean futures market. However, due to my limited level and knowledge, these specific reasons of the price guidance and the interaction of soybean futures has yet to be further in-depth.