| Abstract:With the international economic integration, the rapid development of the emerging countries and the financialization of metal commodity markets, the wave motion of international metal price has been fiercer since the21th century. Especially in the last six years, there has a shock of the world economic situation as a whole. The financial crisis of2008resulted in recession, the crisis of euro zone sovereign debt and the tense international situation. The world metal markets has maintained unstable for a long time. Against that background, studying on the information transmission and spillover effect of China’s metal commodity market, and analyzing the characteristics of the price of futures market (or spot market) plays a significant role in the development of China’s metal commodity market.Using the ARIMA model, VAR model, VECM model, TGARCH model, EGARCH model, IS-GARCH model, BEKK-GARCH model and DCC-GARCH model, this paper makes a comprehensively and systematically empirical research on the futures market and spot market of China’s metal commodity through price volatility, market linkage, the price discovery function and the liquidity of market.The main findings are as follows:Firstly, reveals the information transmission mechanism of Chinese metals commodity market.In futures market, there are significant information transmission from aluminum futures market to other metals futures markets, as it receives the new market information most faster. In spot market, because of the high efficiency of information transmission of aluminum futures market, aluminum spot market also has quick reaction to the new market information which makes significant information transmission from aluminum spot market to other metals sopt markets.secondly, analyze the price volatility character of Chinese metals commodity market.The response of price to the new information is asymmetric in Chinese metals commodity market. Differ from previous research on Chinese financial market, we find that the reaction of metals commodity prices to good news is stronger than the reaction to the bad news. This suggests that, investors are more willing to "chse" than "sell". It also reflects that investors hold an optimistic attitude toward the market in Chinese commodity market.Thirdly, comparative analyze the price discovery function of Chinese metal commdity market.In Chinese metal futures market, the price discovery capability of one month futures contract is more powerful than any other futures contract, and the contribution rate of one month futures contract to the market is over90%. Price discovery function of aluminum futures market is more stronger than other futures market, the contribution rate of aluminum futures market to copper futures maket reachs35%and30%to zinc futures market. Benefit by the high efficiency of information transmission and price discovery of aluminum futures market, aluminum sopt market also has the strongest price discovery function. And aluminum spot dramaticlly impact the coppor spot price and zinc sopt price, the contribution rates of aluminum spot market to copper spot market and zinc spot market are both more than32%.Fourthly, make empirical analysis of the information transmission of metal futures market from the perspective of market liquidity.There is significant linkage of market liquidity among Chinese metal futures market, which indicates that the mutual influence among Chinese metal futures market has a high degree. Meanwhile, we find that market liquidity is closely related to the information transmission and price discover in futures market. As aluminum futures market has a high degree of market liquidity, it also has a high effeciency of information transmission and stronger power of price discovery.Fifthly, analyze the interaction between external market factors and Chinese metal commodity market from different angle of view.Macro financial factors have significant impact on Chinese metal commodity markets. International metal prices also have significant impact on Chinese metal commodity markets, but the influence of Chinese metal prices to international metal prices are still very weak in addition to copper price and lead price. And the degree of interaction between copper commodity market and external market factors is higher than any other metal commodity market...
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