Price Discovery Function of Agricultural Futures Market in China--Based on VECM-PT-IS and DCC-MGARCH-t models  

作　　者：Yangkai Guo 

机构地区：[1]SHU-UTS SILC Business School,Shanghai University,201800,China

出　　处：《经济管理学刊（中英文版）》2018年第2期94-106,共13页Economic Management Journal

摘　　要：Agricultural futures market plays an important role in financial system,and its function of price discovery and hedging is of great significance to the long-term price stability for agricultural products.However,in China,agricultural futures market is still in construction stage,and scholars have not fully studied its price discovery function.Hence,this study will investigate the price discovery function of China agricultural futures market.The causal relationship,price contribution degree and volatility spillover effect of futures and spot markets are studied by comparing the price discovery function of soybean,yellow corn and soybean oil futures and spot.Taking the average daily settlement price of futures and spot in Dalian Commodity Exchange as study objects,the VECM and PT-IS model is used to investigate the causal relationship and the difference in price contribution between them.Then DDC-MGARCH-t model is used to analyze their volatility spillover effect.The empirical results show that there is obvious mutual guiding relationship between agricultural futures and spot market,and the price contribution of futures is significantly higher than that of spot,proving that agricultural futures have the function of price discovery.Meanwhile,the volatility spillover effect between agricultural futures and spot is bidirectional.The impact of internal fluctuations is often greater than that of external shocks.

关 键 词：AGRICULTURAL FUTURES Price Discovery VOLATILITY SPILLOVER Effect 

分 类 号：F[经济管理]