Research On The Price Discovery And Spillover Effect Of China’s Agricultural Product Futures And Spot Markets

With the rapid development of my country’s agricultural product futures market,the variety of transactions and the volume of transactions have gradually increased,and the agricultural product futures market has played a more important role in China’s financial market.Since 2019,due to the dual impact of the new crown epidemic and trade frictions,the prices of domestic and foreign agricultural products have fluctuated greatly,bringing huge uncertainty to the agricultural product market.Due to the long production cycle of agricultural products and the characteristics of being greatly influenced by external factors,whether agricultural product futures can realize the function of price discovery and appropriate spillover effects on the spot market is crucial to the healthy development of China’s agricultural product market.Based on the research and analysis on the function of the futures market,the relationship between the futures market and the spot market,and the spillover effect,this paper selects the weekly data of China’s soybean,corn,cotton futures prices and spot prices as well as foreign futures prices from 2010 to 2021.The empirical analysis is carried out from three perspectives:market effectiveness,the guiding relationship between the futures market and the spot market,and the mean value spillover effect of the futures market on the spot market.At the same time,the spillover effect is supplemented by a combination of static analysis and dynamic analysis to explore the futures of China’s agricultural product market.The price discovery and spillover effect of price on spot price provides ideas and suggestions for the further development of China’s agricultural product futures market.Research indicates:(1)Different agricultural product futures markets and spot markets have different guidance.The domestic soybean futures market has a low impact on the soybean spot market and has low guidance,while the corn and cotton markets are highly correlated,and the futures market has a high guidance on the spot market;(2)The mean spillover effect of soybean futures market needs to be strengthened.The average spillover effect of soybean futures on the spot after quantified by the DY spillover index constructed by Diebold and Yilmaz in 2012 is lower,while the average spillover effect of corn and cotton futures on the spot is higher.The soybean futures market still needs to further enhance the spillover effect on the spot market;(3)The correlation between domestic and foreign market prices is weak.The domestic agricultural product futures spot market has a weak connection with the foreign futures market in most cases of price guidance and mean spillover effects.Therefore,according to the research results,this paper puts forward the following suggestions to policy makers:strengthen the agricultural product development security strategy;develop the agricultural "order+futures" model;improve the infrastructure to form a national agricultural product market;actively promote the internationalization of agricultural product futures.