An Empirical Study on Spot and Futures Market Price of Soybean, Soybean Oil and Soybean Meal in China
This paper studies the price relations of domestic soybean, soybean oil and soybean meal in spot and futures markets using ADF test, Johansen co-integration test and the Granger causality test. The empirical analysis indicates that spots and futures of soybean, soybean oil and soybean meal are all highly related, and its spot prices occupy the leadership. Spot market guides futures market, the futures price fluctuation of soybean oil leads soybeans spot price. But soybean meal is less correlation with soybean and soybean oil. Further analysis shows that a very small part of soybeans, soybean oil and soybean meals consumption is from the futures markets delivery. Soybean oil is still strong driving power leading soybeans price. Because of sufficient imports, excess production capacity of soybean processing enterprises, exports of soybean meal limited by the storage and transportation, the soybean price fluctuate slowly though demand of the soybean meal grows year by year.
Li-hua LI Qun ZHANG
School of Economics and Management, University of Science and Technology Beijing, Beijing, China
国际会议
长春
英文
1197-1201
2011-09-03（万方平台首次上网日期，不代表论文的发表时间）