2011•Food and Nutrition in ChinaRequires access
Grain Price Transmission Correlation Between Futures Market and Spot Market in China
Chuan Wang
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Abstract
Grain price transmission correlation between futures market and spot market was empirically analyzed.Taking soybean,maize and wheat as objects,Johansen Cointegration Test,Granger Causality Test,Impulse Response Function and Variance Decomposition Method were used to study the level of price discovery function of Chinese grain futures market and the influence of futures price on spot price.Results showed that there existed a long-term equilibrium relationship between futures price and spot price in grain market of China and displayed unidirectional inducting relationship in which futures price played a leading role Granger Cause spot price,the price transmission from spot price to futures price was blocked.The price transmission relationship is notable,of which soybean and wheat price transmission rate is 1-order lag,but maize is 3-order lag.The intrinsic power which promotes the price transmission form futures price to spot price is the plenty the price discovery function,and the standardization of futures price information and its effectively transfer to spot market by Internet.The information transfer from spot price market to futures market is restricted by unadvanced transactions,low informationization level and irregular market information standard.