Empirical analysis on price discovery function of wheat and early rice futures market

For recent years, China's major grain prices continued to rise, having a relatively large impact on China's economy. How to spot price through the futures market, is of great significance to the stable operation of the economy in China. This paper selects the largest of China's consumption of two varieties of grain, wheat, early indica rice. Based on VAR Model wheat, indica rice futures market price discovery function of the ADF unit root test, Johansen cointegration test, Granger causality test. Variance decomposition empirical results show that: Wheat futures prices and spot prices of wheat, early indica rice futures price and the spot price of early indica rice sequence of non-stationary series; between them, there are significant long-term equilibrium relationship; country's wheat, indica rice futures market the price discovery function to get a better play.