The Study On Price Discovery And Hedging Function Of Chinese Maize Futures Market

It is generally believed that an efficient futures market can effectively promote the development of the spot market.As the basis of the existence and development of the futures market,the price discovery function is the precondition of the hedging function of futures market.As the earliest and the most active commodity futures,maize futures in Dalian Commodity Exchange forms a rapidly developing and stably operating curve.As China’s important agricultural products futures market,it is very important to research on the price discovery and the hedging function of the maize futures market.Firstly,this paper introduces the theoretical basis of price discovery and hedging and the development situation of the maize futures market.Then the paper goes into the major points,including the study design and the empirical analysis.The empirical analysis is mainly divided into two parts.One part is an empirical analysis of the price discovery function,using correlation analysis,ADF test,cointegration test and Granger test to come to the conclusion that there is a long-term equilibrium relationship between China’s maize futures price and spot price,which means the maize futures market has the basic price discovery function,so the hedging function of the maize futures market gets the good foundation.The other part is the empirical analysis of the hedging function,using OLS regression to calculate the optimal hedging ratio and the level of hedging performance,then coming to the conclusion that the level of hedging performance is not high.Then,the reasons of current low level of hedging performance are analyzed.Finally,it was suggested to reduce policy interference,improve the spot market system and the futures delivery system,and promote the development of futures market to exert its economic function.