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

Wenjing Guo, Sijie Li, Mengyue Xing and Shengyao Lin

International Review of Economics & Finance, 2023, vol. 86, issue C, 467-482

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).

Keywords: Comprehensive information weights; Grain futures; Genetic algorithm; Market operational quality (search for similar items in EconPapers)
JEL-codes: E30 E44 G10 G14 G18 G19 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:86:y:2023:i:c:p:467-482

DOI: 10.1016/j.iref.2023.03.030

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