An Empirical Study On The Price Discovery Function Of China's Large Agricultural Products Futures Market

With the continuous improvement of China's financial market structure,the role played by the agricultural product futures market cannot be ignored,and has become an important part of China's modern market economy.Reasonably exerting the price discovery function of the agricultural product futures market can effectively predict the spot price of agricultural products,participate in economic regulation at the macro level,and reduce the market risk brought by the fluctuation of agricultural product prices to ensure the steady growth of participants' income.This paper selects the relevant historical data of the three major agricultural products of China,Dalian Commodity Exchange and Zhengzhou Commodity Exchange,from January 13,2016 to May 25,2018,using vector error correction.Model,impulse response function,variance decomposition and BEKK-GARCH model are used to quantitatively study the effect of price discovery function in China's bulk agricultural product futures market from the perspective of mean spillover and volatility spillover.The results show that the futures prices of the four types of agricultural products are the Granger reasons for the spot price,and there is a significant two-way volatility spillover effect between the spot prices.There is a significant price-guide relationship between the spot markets of China's bulk agricultural products,a market.Price fluctuations can be passed to another market,and the agricultural futures market can better play the price discovery function.Based on the above research,this paper proposes the following countermeasures:First,build an efficient circulation system to reduce transaction costs;Second,improve the bulk agricultural product futures market system;Third,establish a sound information disclosure system;Third,improve the trading quality of futures market participantsThis article may have some bright spots in the following three perspectives:First,combining the two perspectives of mean spillover and volatility spillover,systematically analyzing the price-related impact between the agricultural futures market and the spot market,is the innovation from the research perspective;Selecting multiple types of mature varieties in the upper set to systematically inspect China's bulk agricultural products futures,rather than individual varieties to study the price discovery function of agricultural products futures market;thirdly,constructing VEC model and BEKK-GARCH model,explaining the current correlation between variables,It reflects the logical relationship between variables and the effect of long-term and short-term structural shocks,and thus measures the degree of influence between the spot market prices of four types of agricultural products.