Research On Price And Volatility Effect Of Corn Futures In China

In recent years,China's financial industry continues to develop rapidly,the emergence of various financial derivatives to the economic development into vitality and vitality.Among them,the generation and continuous improvement of agricultural futures contribute to the development of modern agriculture.As one of the representative varieties of agricultural futures,corn futures play a certain role in organizing and arranging corn production,transferring price risks,stabilizing farmers' income,and avoiding risks by enterprises.Price discovery function is the most prominent effect of the futures market and the key element of other functions of the futures market.Therefore,the price discovery function of the futures market is required to be manifested to a corresponding degree first.This paper mainly studies the linkage relationship between spot prices of corn futures market,the measurement of the contribution of price discovery and its dynamic evolution,and the fluctuation spillover effect between spot markets of corn futures market.The study of these problems is conducive to improving the ability of corn futures to serve the real economy,and also provides references for the construction of other agricultural futures markets.Based on market efficiency theory,carrying cost theory,rational expectation theory and risk premium theory,the mechanism of price discovery is discussed and explained,and the mechanism of volatility spillover between markets is explained with the help of futures market efficiency theory and behavioral finance theory.Based on the theory of carrying cost and the mechanism of price discovery,a vector error correction model is established.By selecting the data of spot price for corn futures from 2014 to 2020,the price discovery ability of corn futures is studied from two aspects: the linkage mechanism of spot price for corn futures and the contribution of price discovery.According to Granger causality test,the futures price of corn helps to explain the spot price.The vector error correction model combined with impulse response was used to analyze the linkage mechanism of spot price in corn futures.Furthermore,the price discovery ability is evaluated based on the contribution of the PT model and the spot market to the formation of equilibrium price.Finally,the state space model was used to investigate the dynamic change of the contribution rate of price discovery,and it was found that the corn futures market played a core role in this process during 2014-2020.After 2017,under the influence of the market-oriented reform of corn prices,the contribution of price discovery of the futures market tended to be stable.After comparing the related models to study the volatility spillover effect,the Beek-GARCH model is selected to study the volatility spillover effect between the futures and spot markets.The significance of the model coefficient and the Wald test both reflect that there is a two-way risk transmission effect between the two markets,and the influence is significant.On the basis of the empirical analysis results,it is concluded that the price discovery function of the corn futures market can be reflected to some extent,but the adjustment mechanism between the two market systems is not sensitive enough.Finally,in order to promote the perfection of the corn spot system and respond to the implementation of the strategic planning of the central document,the service ability of the futures market should be strengthened.Suggestions were put forward from the following aspects: actively promoting the construction of the corn spot market system,continuously improving the integrity of the information disclosure of the futures market,improving and innovating the formulation of the corn futures trading and delivery,strengthening the futures-related education and publicity,and strengthening the management and supervision role of the government departments.