Research on Price Discovery Function of China Pig Futures Market

Abstract

On January 8, 2021, China Pig futures was listed on Dalian Commodity Exchange. Its listing has brought new tools for the risk management of hog prices, and has aroused widespread concern in the community. Research on the price discovery function of pig futures market is of great significance to the price risk management of pigs. This paper takes the China pig futures and spot market as the research object, selects the live pig futures and spot trading data of China from January 8, 2021 to September 28, 2023, and makes a preliminary effectiveness analysis on the price discovery function of the futures market through the trend of spot prices. Secondly, the data are tested for stationarity and cointegration, and then the VAR model is established. Through descriptive statistics, Granger causality test, impulse response and variance decomposition analysis, the price discovery function of China pig futures market is further analyzed. The results show that China pig futures market has played a certain price discovery function, but there is still room for improvement. Based on this, the relevant countermeasures and suggestions are put forward: to improve the relevant rules and systems of pig futures, to strengthen the standardization construction of the over-the-counter market of pigs, and to promote the enthusiasm of enterprises in the pig industry chain to participate in the futures market.