我国农产品期货市场价格发现功能实证研究——以大豆为例

期货市场功能包括套期保值功能和价格发现功能，本文在查阅大量文献的基础上，对于价格发现功能相关理论进行论述，有关价格发现功能影响因素，可以从期货、现货市场来分析，对大豆现货市场、大豆期货市场的发展现状及大豆期货市场的价格影响因素进行概述。本文使用大商所农产品大豆1号，收集期货价格周结算价和现货价格周数据，对大豆期货价格发现功能进行实证，由相关性关系研究得出两者存在趋势一致结论；运用协整、VAR模型和ECM模型分析长期均衡、短期价格回归均衡关系；由Granger检验分析，发现大豆期货价格单方面引导大豆现货价格；由脉冲响应函数分析，期货价格变动引起现货价格同步变化，相对来说，现货价格的变动不会给期货价格带来较大变动；对于方差分解函数冲击贡献度分析，在中国大豆期货市场中，价格发现功能起主导作用。最后理论和实证相结合进行分析，得出完善大豆现货市场、规范大豆期货市场、调控市场参与者、加强国际因素影响四个方面建议，有利于中国大豆期货市场运行机制强化及提高其功能效率。

关键词:大豆市场；期货市场；现货市场；价格发现；
Empirical Research on the Price Discovery of Agricultural Futures Market in China.——Take Soy as an Example
 
Abstract：The function of futures market includes hedging function and price discovery function. On the basis of consulting a large number of documents, this paper discusses the theory of price discovery function. The factors affecting price discovery function can be analyzed fromfutures and spot markets, and the development status of soybean spot market and soybean futures market can be analyzed. And the price impact factors of soybean futures market are summarized. This paper uses the agricultural products of big merchants as soybean 1, collects the weekly price of futures price and the weekly data of spot price, and makes an empirical study on the price discovery function of soybean futures. The conclusion is consistent with the correlation relationship, and the long-term equilibrium and the short-term price return equilibrium are analyzed by using the co integration, VAR model and ECM model. On the basis of Granger test analysis, we found that soybean futures prices unilaterally guide the spot price of soybean; by the impulse response function analysis, the futures price change causes the spot price to change synchronously. Relatively speaking, the change of spot price will not bring big changes to the futures price, and the impact contribution to the variance decomposition function is analyzed, In China's soybean futures market, price discovery plays a dominant role. Finally, the theory and the empirical analysis are combined to analyze the four aspects of improving the soybean spot market, standardizing the soybean futures market, regulating the market participants, and strengthening the influence of the international factors. It is beneficial to the strengthening of the operating mechanism of the Chinese soybean futures market and the improvement of its functional efficiency.
Key words：Soybean market; Futures markets; Spot market; The price discovery

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