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1、AbstractWiththeapproachofthe21stcentury,theproblemfacedbyagriculture,ruralareasandfarmersisreceivingmoreandmoreattentionfromthewholesociety.Thecentralgovernmenthaslaidemphasisonraisingfarmers’income】evel,developingmodernagricultureandconstructingnewcountryside.Recentyea
2、rs,theNo.1CentralCommittee'sDocumentsareallaboutsolvingtheproblemfacedbyagriculture,ruralareasandfarmers,whichshowedthegovernment'sdetermination.Intheprocessofsolvingtheproblem,theagriculturalcommodityfuturesmarkethasplayedanimportantrole.Thetraditionalwayofagricultural
3、productionhasseverallimits.Usuallythepriceinthespotmarketlags,soproducingaccordingtothispricewillsufferfrompricefluctuation,whichwillreducefarmers'income.Thebirthoffuturesmarketsolvesthisproblem.Thetwobasicfunctionsoffuturesmarketarepricediscoveryandrisktransfer,withthe
4、firstbeingthebasisofthelatter.Asaresult,itisnecessarytostudythepricediscoveryfunctionofChina'sagriculturalcommodityfuturesmarket.Presently,researchabroadisquiterich,butseldomisChina'sagriculturalcommodityfuturesmarketstudied.Domesticstudiesmainlyfocusoncointegration,Gra
5、ngercausality,impulseresponsefunctionandvariancedecomposition.Butthesemodelscannotquantitativelyfindouttheproportiondevotedbyfuturesmarketandspotmarketrespectivelyintheprocessofpricediscovery.TheISmodelandPTmodelemployedinthisstudycouldsolvetheissuetoagreatextent.Hardly
6、hasthesetwomodelsbeenusedinpreviousdomesticstudies,andthisisthegreatestinnovationofthisstudy.Inthispaper,soybean,corn,wheatandcottonfuturesareinvestigated.Resultsshowthatthepricediscoveryfunctionoftheagriculturalcommodityfuturesmarketinourcountryisquitegoodatpresent.Com
7、paredwithspotmarket,thefuturesmarketdominatestheprocessofpricediscovery.Spotpricereactstochangesinfuturesprice,butitdoesn'tworkintheoppositeway.Thismeansthatthespotmarketinourcountryisnotwelldevelopedyet.Besides,thecorrelationbetweentheinnovationoffuturesandspotmarketis
8、notsohigh,whichindicatesthattheremaybeirrationalspeculationinthefuturesmarket.Attheendofthispaper,somepolicysu
