中文摘要：

运用GARCH族模型和VAR模型分别对2013年1月1日至2016年2月29日的国内大豆期货日结算价格进行有效性和波动性的检验。研究发现,目标价格政策实施对我国大豆期货市场价格变化和我国期现货价格基差具有显著的负向关系;目标价格政策使大豆期货市场更加完善,表现在期货价格集群性减弱,期货市场的收益和风险呈正比,期货市场的非对称性消失;政策实施后大豆期货市场更加有效,表现在期货价格和现货价格联系更加紧密,期货价格能引导未来现货价格。未来要加强对中小投资的风险教育,规范机构投资者交易行为,预防相应的金融风险。

英文摘要：

The paper uses the GARCH Model Family and VAR Model to test the effectiveness and volatility of domestic soybean futures price from January 1,2013 to February 29,2016. The research found that the target price policy shows a significant negative relationship with the price difference of soybean futures market price and spot price. The target price policy makes the soybean futures market better,which is manifested in the weakening of the futures price clustering,the return and risk of the futures market shows direct proportion,and the asymmetry of the future market disappears. With the implementation of the policy,the soybean futures market is more effective. The futures price and spot price is more closely related. What＇s more,futures price can guide spot price. In the future,it is necessary to strengthen the risk investment of small and medium-sized investment,regulate the behavior of institutional investors and prevent financial risks.