A Study On The Dynamic Relationship Between Futures Market And Spot Market Price In China:Based On The Changes Of Futures Contracts

China’s wheat futures market has a long history of more than twenty years.There were some problems in its contract design.In order to strengthen the relation between the futures market and the spot market,and improving the liquidity of the futures market,ZCE changed the wheat futures contracts in 2012.As the wheat’s price is under the control of the government,the changes of the wheat contract may not be effective.This study used China’s wheat futures price data and spot price data,to find the relationship between wheat futures market and spot market in China after the changes of wheat contracts.First,there is a summary of the theory foundation of the price discovery functions which based on the relative study.And it introduces the development of China’s wheat spot market and the futures market.Second,this study focuses on the price fluctuation and spillover effects of China’s wheat futures price and spot price,by using the Johansen cointegration theory,error correction model,Granger test,impulse response function,variance decomposition,the bekk-garch model.The empirical result shows that,for China’s wheat futures,it had been better in the price discovery function.And the relationship between the spot price and the futures price has been more closely after the changes in futures contracts.The relationship between futures price and spot price has a transformation from the unidirectional guide to a two-way volatility spillover.The result also shows that,for different varieties of wheat futures contract,futures markets and spot markets play different roles in price discovery.Two suggestions have been put forward in the end:attracting more enterprises to participate in the wheat futures market,and reducing government intervention in wheat prices.