Econometric study on import, storage and futures markets of field crops

本文分析了期货市场与现货市场的关系、期货市场的效率与价格形成的关系。东京大豆交易所（TGE）的美国大豆期货市场受到芝加哥期货交易所（CBOT）价格的强烈影响，而CBOT价格是由储存和生产条件决定的。但在TGE上，近月价格与递延月价格不同，受CBOT价格的影响。这是由于交易者在近一个月的投机行为。TGE近月价格对美国大豆现货市场的影响强于进口价格。采用无套利资产定价假设和无偏性假设，对TGE上美国大豆期货市场的有效市场假设进行了检验。采用协整技术进行实证分析。结果表明，附近合约价格与现货价格或现货价格与无风险利率之间存在长期均衡关系。在第二个和第三个临近合约中，价格似乎是在无套利资产定价假设下决定的。美国和日本玉米期货市场的价格形成情况如下：首先，玉米库存对CBOT附近玉米价格的影响较大，在玉米产量不确定的月份，产量预测会对玉米价格产生影响。第二，CBOT玉米期货价格、汇率、汇率和运费是影响TGE和Kanmon商品交易所玉米期货价格形成的重要因素。

In this study, the relationships between futures and spot markets, the efficiency and the price formation of futures market have been analyzed. A U.S. Soybean futures market on the Tokyo Gram Exchange(TGE) is strongly affected by the CBOT prices which are determined by storage and production conditions. But, on the TGE, the prices of nearby month are deferent from the deferred month prices, which are influenced by the CBOT prices. This is due to speculative behaviors of traders in nearby month. The prices of nearby month on the TGE have a stronger impact to the spot, market of the IOM soybean than the import pricesAn efficient market hypothesis of a U.S. Soybean futures market on the TGE was tested using a no-arbitrage asset pricing hypothesis as well as a so-called unbiasedness hypothesis. A cointegration technique was employed for empirical analyses. The results shown that the prices of nearby contracts had long run equilibrium relations with spot prices, or spot prices and risk-free interest rates. On the second and third nearby contract, prices were appeared to be decided under the no-arbitrage asset pricing hypothesis.Price formation of the corn futures market in USA and Japan is as follows. First, the stock of corn affects strongly nearby price of corn of CBOT, and on the months when the production of corn is not definite, a production forecast, influences it. Second, the nearby price of corn of CBOT, exchange, rate, and freight are very important factors of price formation of nearby price of corn in the TGE and Kanmon Commodity Exchange.