Research On Price Discovery Function And Optimal Hedging Ratio Of Corn Futures Market In China

As an important part of the agricultural futures market,the corn futures market has made some contribution to avoid the risk and realize the hedging.China is a large country of grain production and import and export of agricultural products.Price stability is directly related to China's economic development trend.Every year our country policy to support the agricultural price.With the stability in the prices of agricultural products,the policies caused a huge financial burden to the government.So China is the gradual liberalization of agricultural support policy let the market play.The agricultural product futures market regulation function,which not only to reduce the burden of government,and also make the corn prices reflect the real corn spot market supply-demand relationship,and also to increase the vitality of corn futures market.The purpose of this research is to study at this stage of China's corn futures market price discovery function of the level and volatility spillover effect between corn prices on the spot market and futures market,the futures market price discovery function further confirmed that the overall effect of the optimal hedge ratio to measure the corn futures market price discovery and risk aversion.Firstly,from the corn futures market price discovery function,in-depth analysis of China's corn futures market price discovery function by introducing the state space model.Using the Calman filter method to estimate the dynamic contribution rate of corn futures market,and explain the dynamic contribution rate of different periods.Secondly,further analysis of the price transmission process,the volatility spillover effect,between the corn futures market and spot market.And use of IMF and EGARCH model to estimate the volatility spillover effect of the direction and size.Finally,on the basis of the forth chapter and the fifth chapter studies the optimal hedging ratio of corn futures market is estimated,the GARCH model of static model and dynamic were used,to find better the fitting effect of GARCH model.The conclusion is that the corn futures market have a certain price discovery function,and is in the leading position in the price discovery function;corn futures market exists from the volatility spillover effects of corn futures market to the spot market;GARCH model to estimate the optimal hedge ratio effect is the best,but the hedging ratio value of corn futures market can reduce corn spot market risk is not very high,indicating that the hedging function of corn futures market in our country there is a great space to play.Based on the research on the price discovery function and the optimal hedgingfunction of the corn futures market,this paper puts forward reasonable suggestions.