Abstract
For researching the function of price discovery in the Chinese corn futures market, this article uses cointegration test, Granger causality test, vector error correction model and state space model to analyze the corn futures market. The empirical results indicate that corn futures market and the spot market have a cointegration relationship, and the spot market price dominates the futures market price. Using the Kalman filter method, the dynamic contribution rate of corn futures market and spot market is calculated. The results show that the corn futures market is in a dominant position of price discovery function. The above results can be drawn of the corn futures market has a certain price discovery function.
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