Study On The Dynamic Correlation Between Spot Price And Futures Price Of Eggs In China

China’s poultry and egg production accounts for more than 40% of the world’s total production.It is the most important egg producer and exporter in the world.Since 2018,China’s egg prices have experienced a period of rapid rise and then rapid decline,which has an adverse impact on the stability of China’s egg production capacity and the healthy development of the industry.Egg futures is the first listed animal products futures in China.Since its listing in November 2013,after years of development,the trading scale of egg futures has been continuously expanded,and the contract design and delivery rules have been continuously improved.It has important reference significance for the subsequent launch of livestock product futures in China.At present,China attaches great importance to strengthening financial services for agriculture,rural areas and farmers,and encourages the use of the futures agricultural model represented by "insurance + futures" to resolve the market risks of agricultural products.For the egg industry,whether the futures agricultural model can be effectively implemented depends on whether the function of the egg futures market can be effectively brought into play,Therefore,by analyzing the operation of egg spot market and futures market and the correlation between egg futures and spot price,this paper tests whether China’s egg industry has the conditions to implement futures agriculture,and puts forward corresponding suggestions on industry,futures market and relevant policy-making.This paper is divided into three parts and five chapters.The first part includes chapter 1 and chapter 2,which mainly introduces the research background,purpose and significance,summarizes the existing research results and relevant basic theories at home and abroad,and expounds the relevant basic theories.The second part includes chapter 3,chapter 4 and chapter 5.Firstly,it summarizes the development of China’s egg industry and egg futures market,analyzes the fluctuation law of China’s egg spot price and futures price,and then passes the cointegration test,Granger causality test,The dynamic conditional correlation—generalized autoregressive conditional heteroskedasticity model(dcc-garch model)analyzes the correlation of China’s egg spot price in the long-term and short-term respectively.The third part is the chapter 6,which summarizes the main research conclusions of this paper,and puts forward targeted suggestions from three perspectives: egg industry practitioners,futures market practitioners,government and regulators.The results of this paper show that the spot price of eggs in China shows the characteristics of accelerated fluctuation frequency,shorter cycle and larger range.There is mutual guidance between egg futures and spot prices,and there is a dynamic correlation between them,and the correlation in the short term is higher than that in the long term.Although egg futures has played a role in price discovery,it is still subject to the restrictions of practitioners’ knowledge level,the development degree of futures market and relevant policies.At present,China’s egg industry still has room to improve its futures agricultural model.