An Empirical Study On The Price Discovery Function Of Chinese Rapeseed Futures Market

The oil production of rapeseed in my country accounts for more than half of the total oil production of domestic oil crops,and it is the main source of edible vegetable oil in China.Under the circumstance that the raw materials of soybean oil and palm oil are heavily dependent on imports,the healthy development of the rapeseed industry is crucial to the supply security of edible vegetable oil in my country.In addition,rapeseed production is also an important source of income for farmers in the main rapeseed producing areas in my country,affecting the vital interests of farmers.Therefore,the active development of rapeseed-related industries will not only help improve the self-sufficiency rate of edible oil,ensure the security of national grain and oil supply,but also help increase farmers’ income and realize the strategy of rural revitalization.However,as a typical agricultural product,rapeseed has the characteristics of multiple risks intertwined,and its production is highly volatile,resulting in frequent price fluctuations.Farmers are often the main bearers of the risk of price fluctuations.Frequent price fluctuations will seriously dampen farmers’ enthusiasm for planting,which is not conducive to the development of the rapeseed industry.The successful listing of rapeseed futures in 2012 enriched the varieties of vegetable futures,helped to form futures prices that truly reflect market supply and demand,and enabled the futures market to have the function of price discovery,which can predict and guide the price trend of the spot market,and become a producer and operator.A tool to effectively avoid risks and promote the high-quality development of the rapeseed industry.Price discovery is the basic function of the futures market,which determines whether the futures market can provide effective services for the real economy.In recent years,the social and economic situation at home and abroad has changed rapidly.Under the new situation,the research on the price discovery function of the rapeseed futures market can provide decision-making basis for rapeseed growers,related enterprises,investors and regulators.Therefore,this paper starts with the relationship between futures and spot prices of rapeseed,and uses a combination of theory and empirical methods to explore the price discovery function of my country’s rapeseed futures market.First,the price discovery function of the futures market is expounded from a theoretical point of view;secondly,the development status and existing problems of the rapeseed futures spot market in my country are analyzed to provide a realistic basis for the subsequent empirical evidence;then,on the basis of the theory and status quo,using the unit root test,Johansen cointegration test,Granger causality test,impulse response and variance decomposition method to analyze the spot daily average price and futures daily average price of rapeseed in five major rapeseed producing provinces of Hubei,Hunan,Anhui,Jiangsu and Sichuan.Finally,according to the empirical results,analyze whether the price discovery function of the rapeseed futures market has been effectively exerted,and put forward corresponding policy suggestions according to the market situation,so as to promote the sustainable development of the rapeseed futures market.By reading the literature,it is found that most of the existing research on the price discovery function focuses on corn,soybean,cotton and other bulk futures varieties.This paper breaks through this limitation and chooses rapeseed futures;and considers that the implementation of rapeseed in the spot market Based on the analysis of all the data since the listing of rapeseed futures,taking the time when the temporary purchase and storage policy was canceled in 2015 as the dividing point,we compared and analyzed the futures spot price data before and after the cancellation of the policy to make the analysis more accurate.comprehensive.The empirical conclusion is that the correlation of spot prices in rapeseed futures has been greatly improved after the temporary purchase and storage policy was cancelled,and the price fluctuations showed a consistent trend of change;and except for the implementation period of the temporary purchase and storage policy,the other two The futures and spot prices in each period have a long-term equilibrium relationship,indicating that the temporary purchase and storage policy hindered the performance of the futures market’s price discovery function;the results of the subsequent impulse response and variance decomposition showed that the rapeseed futures market dominated price discovery,However,the role played is not significant,and there is still a lot of room for development.According to the conclusions,the following policy suggestions are put forward to promote the healthy development of the rapeseed futures market: improve the rapeseed spot market and increase the support for the rapeseed industry;optimize the investor structure of the rapeseed futures market and actively introduce industrial customers;expand the rapeseed The level of openness of the futures market;strengthen the understanding of agriculture-related entities on the futures market;improve information transmission and strengthen supervision.