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Empirical Study on Market Efficiency among Soybean Futures with Different Maturities

Author: ChenYing
Tutor: DengYongQin
School: Hunan University
Course: Accounting
Keywords: Market efficiency Soybean futures Maturities
CLC: F724.5
Type: Master's thesis
Year: 2013
Downloads: 18
Quote: 0
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Agriculture is the foundation of the national economy in our country. Theefficient market of primary products futures plays an important role in the healthydevelopment of the financial market system. Soybean is one of the oldest and the topfive crops in the world. It is necessary in our everyday life and to improve theecological environment. The futures function of hedging and price discovery canoperate well in the futures market efficiency. Although the soybean futures markethas been developing rapidly in our country, the market efficiency is still not enough.So the research on market efficiency among soybean futures is significant boththeoretically and realistically.Based on efficient market hypothesis, the paper analyzes the efficiency ofChina’s soybean futures market in a different maturities view. First, the paper selectsthe data of China’s soybean futures from March2003to March2012, and tests themarket efficiency with ADF test, Johansen test, DOLS,WALD test, ECM, GARCH-M.The results show that co-integration relationship exists among No.1soybean futureswith different maturities periods, that there is stable linear relationship. No.1soybeanfutures are efficient and unbiased in less than seven months. At the same time, theaccuracy of predicting the risk premium of China’s soybean futures market is lower.Therefore, the efficiency of the soybean futures market needs to be improvedurgently in China, the measurers are to mobilize institutional investors, beanenterprises, farmers and the intermediary agencies, to establish and i mprove theinformation distribution center and the transmission channel, to increase supply anddemand of soybean in China by the way of encouraging farmers to work, supportingsoybean enterprise through the tax policy and financial instruments, to encourageenterprises to actively participate in the international futures market, breaking themonopoly of the four major international grain merchants.

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CLC: > Economic > Trade and Economic > China's domestic trade and economic > Circulation of commodities > Futures Trading
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