An empirical study on spot and futures market price of soybean, soybean oil and soybean meal in China

Abstract

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 soybean's 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 meal's consumption is from the futures market's delivery. Soybean oil is still strong driving power leading soybean's 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.