基于社会网络模型的大豆类期货与现货市场关联性研究

Research on the Correlation between Soybean Futures and Spot Markets Based on Social Network Model

大豆及其制品的豆粕、豆油关系国计民生。中国豆类期货市场也相继推出,大豆类期货体系初步形成,在价格发现、规避风险等方面发挥了重要作用,但是近年来期货市场价格波动频繁给利益相关者带来了巨大的风险。基于此,通过建立VAR模型进行非线性格兰杰因果检验,基于检验结果建立社会网络模型分析期货与现货市场之间的关联性。结果表明:中国大豆产业链上价格发现功能有效,期货与现货市场之间关系密切;所建立的社会关联网络稳健且效率高,豆油期货与现货在整个网络中处于最核心的地位,对其他价格信息的传递起到中介作用。最后,根据结论提出了相应的对策建议。

Soybean meal and soybean oil are related to national economy and people's livelihood.Soybean futures market in China has been also launched one after another,and soybean futures system has initially formed,which plays an important role in price discovery and risk avoidance.But in recent years,the price fluctuation of futures market frequently has brought huge risks to stakeholders.Based on this,through establishing VAR model to conduct non-linear Granger causality test,social network model was established to analyze the correlation between future and spot markets in the period based on the test results.The results showed that the price discovery function is effective in the soybean industry chain of China,and the relationship between future and spot markets is close.The established social association network is robust and efficient,and soyoil futures-spot plays a central role in the whole network,which plays an intermediary role in the transmission of other price information.Finally,corresponding suggestions were given according to the conclusion.