중국 옥수수 선물시장의 가격정보 효율성 분석

Analysis on Price Information Efficiency of China’s Corn Futures Market

China has faced a skyrocketing rise in the corn demand derived from the feed and ethanol production industries. The price information of corn futures market has been much more important in predicting future corn spot price efficiently than ever before in this circumstances. The Bivariate Johansen cointegration tests on the 7 paired time series of Corn futures price and Corn spot price show that they all have longterm equilibrium relationships. These 7 Corn spot prices are from the major corn production areas including Harbin, Changchun, Shenyang, Lianyungang, Chengdu, Daliangang, Fuzhou. The two further tests show additional information on these relationships. First, weak exogeneity test shows Corn futures price exercises leadership over Corn spot prices, so the efficient price information flows have been made in China s major Corn production areas. Second, price proportionality test shows that the speculators in Harbin, Changchun, Shenyang can earn constant risk premia but they cannot in Lianyungang, Chengdu, Daliangang, Fuzhou. This can lead to different investment behaviors of speculators in these two areas.