Abstract:This paper studies the differential effects of agricultural price support policies on cotton futures market and spot market correlation from two aspects of spillover effect and dynamic correlation through VAR-BEKK-MVGARCH-DUMMY-T model. The results show that different price support policies have different effects on the relationship between cotton futures market and spot market. The implementation of the temporary purchase and storage policy significantly reduced the correlation degree between the cotton futures market and spot market,but the correlation between the two markets increased gradually after the implementation of the target price policy. The policy of temporary purchase and storage and target price policy have weakened the price guiding role of cotton futures market to the spot market,and reduced the transmission of price volatility between the two markets. The effect of target price policy on price guidance and volatility transmission between the cotton futures market and spot market was less than that of temporary purchase and storage policy. The policy of temporary purchase and storage reduced the correlation degree of fluctuations between the cotton futures market and spot market,but the target price policy improved the correlation degree of fluctuations between the cotton futures market and spot market. Therefore,the reform and improvement of agricultural price support policy should adhere to the direction of marketization and give full play to the function of futures market of agricultural products.