The Withdrawal of Temporary Reserve Policy and The Price Discovery Ability of Agricultural Futures Markets

WU Ling-li1 and JU Rong-hua1，2

（1.College of Economics and Management，China Agricultural University，Beijing 100083，China；2.Center for Futures and

Financial Derivatives Research，China Agricultural University，Beijing 100083，China）

Abstract：The withdrawal of temporary reserve policy has an important effect on the price formation mechanism of agricultural spots markets. As an important place for the pricing of agricultural products ，the price discovery ability of futures market will be affected undoubtedly. Based on the information spillover theory ，the authors discuss the influence mechanism of the withdrawal of temporary reserve policy on the price discovery ability of agricultural futures market. The authors use the yield spillover index model to measure the price discovery ability of agricultural futures market ，and build a multiple linear regression model to compare and analyze the impact of the withdrawal of temporary reserve policy on the price discovery ability of agricultural futures market. The authors also establish a multi-liner regression model to compare the impact of the withdrawal of temporary reserve policy on the price discovery ability of of the main and nearby contract in the agricultural futures market. The results shows that：before and after the withdrawal of temporary reserve policy，both the main and nearby contract of the agricultural futures market have the price discovery ability ；the withdrawal of the temporary reserve policy improves the price discovery ability of the main and nearby contracts in the futures market of agricultural products ，but the marginal effect difference between them is very small；the withdrawal of the temporary reserve policy improves the price discovery ability of the main contract and nearby contract in the agricultural futures market which are little affected by the external plate ，and weakened the price discovery ability of the main contract in the agricultural futures market which are greatly affected by the external plate ；and the information discovery efficiency in futures market is the main way that the withdrawal of the temporary reserve policy affects the price discovery ability of agricultural futures market. In order to improve the price discovery ability of agricultural futures market，it is suggested that，first，we should，on the basis of ensuring the safety and independence of agricultural products production，we should continue to take the market-oriented reform of agricultural products price as the guidance ，and optimize the efficiency of allocation of agricultural resources ；second，we should lower the entry threshold of foreign investors in Chinese futures market and enhance the international pricing influence of Chinese agricultural futures market ；and third，we should vigorously develop institutional investors and improve the efficiency of information discovery in futures market.

Key words：temporary reserve policy；market- oriented reform；agricultural futures market；information spillover；price discovery ability

中国流通经济（2023 3 37 3 China Business And Marke（t March 2023，Vol.37，No.3）

年 月，第 卷第 期） doi：10.14089/j.cnki.cn11-3664/f.2023.03.010

.论个人隐私数据的反垄断法保护路径[J].中国流通经济，2023（3）：120-128.引用格式：许丽