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Evaluation of the operational quality of China's grain futures market based on the comprehensive information weighting method

Author

Listed:
  • Guo, Wenjing
  • Li, Sijie
  • Xing, Mengyue
  • Lin, Shengyao

Abstract

China's grain prices have witnessed large fluctuations since 2018. Therefore, an accurate evaluation of the impact of major events on the operational quality of the grain futures market can provide a basis for subsequent effective regulation of the grain futures market. This paper evaluates the liquidity, effectiveness, and volatility of the grain futures market with indicators. Based on the genetic algorithm, the Comprehensive Information Weights of grain futures trading are constructed. The above indicators can reflect the quality of market operation more accurately with the CIW. The evaluation of the quality of grain futures market operations shows that the liquidity of cereal futures and bean futures has weakened after December 2019. Meanwhile, the effectiveness of high-gluten wheat futures, japonica rice futures, and soybean 2 futures should be of concern. Finally, the authorities should issue timely market alerts for sharp price fluctuations (such as corn futures and soybean 1 futures).

Suggested Citation

  • Guo, Wenjing & Li, Sijie & Xing, Mengyue & Lin, Shengyao, 2023. "Evaluation of the operational quality of China's grain futures market based on the comprehensive information weighting method," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 467-482.
    • Handle: RePEc:eee:reveco:v:86:y:2023:i:c:p:467-482
    DOI: 10.1016/j.iref.2023.03.030
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Comprehensive information weights; Grain futures; Genetic algorithm; Market operational quality;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G19 - Financial Economics - - General Financial Markets - - - Other

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