Research On Volatility Spillover Effect Of Soybean Futures In China And America

In recent years,in the case of domestic soybean production is gradually declining,the import of soybeans has increased rapidly,from 2,868,000 tons in 1997 to 83.91 million tons in 2016,external dependence reached 87% or more,the formation of imported soybeans dominates the Chinese soybean The grim situation of the market.due to the lack of voice in the international soybean pricing system,and the domestic soybean crushing enterprises weak,leading to China's soybean procurement enterprises in the international soybean trade in the face of the situation,the import price is easy to be manipulated,soybean trade security has been greatly affected The The current international trade price formation is based on the futures market-based "point price" model,the development of soybean futures market will help compete for the pricing of soybean trade.CBOT soybean futures is the world's soybean trade in the authority of the price,the development of the global soybean industry chain has an extremely important influence.Therefore,it is of great significance to study the fluctuation spillover effect of soybean futures market in China and the United States to compete for the pricing power of soybean and to understand the competitiveness and influence of soybean futures market in international market.Based on the background of soybean imports in China,CBOT Soybean Futures and DCE Soybean Futures Trading varieties were used as the representative varieties of Soya Soybean,and the daily closing price of Soybean Index was selected as the sample.By establishing a variable structure(1,1)-t model to test whether there is a significant change in the correlation between the two at different levels of fluctuation,in order to reveal the fluctuation spillover effect between the two.Combining Bayes timing diagnosis and Z test to diagnose the sequence of time-dependent correlation coefficient,observe whether there is variable structure point,and explore the background and cause of variable structure point,and finally draw the conclusion.In this paper,through the correlation coefficient to diagnose the variable structure point,found that China's soybean and US soybean fluctuations in the relationship between the 2013 and 2016 occurred in a profound structural changes,domestic soybean due to different uses,different markets have to a certain extent,out of the US soybean The price impact,out of their own independent market,the future trend is expected to continue.In addition,the public concern about the safety of genetically modified foods is increasing,the advantages of domestic soybean non-genetically modified varieties will be further developed,so we can conclude that(1)DCE soybean futures market is still affected by the CBOT soybean futures market.(2)in the soybean market in China under the profound structural changes in the context of domestic soybean production and consumption are maintained a unique feature.(3)in the discussion of the safety of genetically modified and questioned intensified circumstances,the unique advantages of domestic non-transgenic varieties of soybeans are being favored by consumers,domestic soybeans do not have pessimistic.