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Empirical Analysis of Speculative Factors on Soybean Futures Prices

Author: ZhengBin
Tutor: ZhangBing
School: Nanjing Agricultural College
Course: Financial
Keywords: speculation soybean future price
CLC: F326.11
Type: Master's thesis
Year: 2013
Downloads: 1
Quote: 0
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Abstract


With the development of biomass energy projects, and soybeans as one of the important agricultural crops and oil crops,plays an increasingly important role in the lives of the people, its price volatility will have important impact on States, with risk aversion and price discovery function of futures markets, soybean futures market research helps to avoid the risk of production and operation of the spot market, while beneficial to countries in developing and improving relevant future market policy to guard against risks.This article firstly described the effect factors of soybean futures, and introduced representative variables such as exchange rate,inventory, speculation and crude oil index, identified the significantly effect of speculation factors on soybean futures price with multi regression model validation, while using net positions and investors emotional indicators, through ADF test, Association whole test, VAR model, pulse response function and Granger causes test method respectively analysis the influence of different transactions subject on soybean futures price.The result shows, speculators significantly influenced soybean futures price,the non-commercial positions for representative of traditional speculative forces and index fund transactions who is representative of new speculative forces have positive feedback on soybean futures price,while commercial positions for representative of sets period hedge positions has negative feedback role on soybean futures price.Granger inspection results indicates that, index fund transactions who one-way boot soybean futures price, soybean futures price one-way boot traditional speculative(non-commercial positions), Hedging transactions are interlinked with soybean futures prices, while studies show that, the result from speculative investor sentiment indicators measure forces more convincing, we tend to measure investor sentiment index conclusions.Last we submit some practical guidance and relevant recommendations.

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CLC: > Economic > Agricultural economy > China 's agricultural economy > Agricultural sector economy > Farming > Food crops
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