Abstract
In the agricultural futures markets of China, whether there is a correlation between the spot and futures prices has been a focus in recent years. Taking soybeans of the Dalian Commodity Exchange (DCE) as an example, this paper examines the dynamic relationship between the prices of spot and futures, and analyses quantitatively the magnitude of the role of this futures market in price discovery, using basis analysis, correlation analysis, the Granger causality test and Johnson co-integration test. The results of this research suggest that the spot and futures prices are co-integrated over the long term, and though they interact strongly, spot prices impact futures prices more heavily, showing unidirectional feedback.
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