The Empirical Analysis Of Natural Rubber Futures Market Effectiveness

Along with the development of Chinese national economy, specially when the automobile and the rubber correlation industry swift and violent development,,the tendency of domestic natural rubber's demand has seem to be increasing. Although China is one of countries where product most of the natural Rubber in the world.Because of the restricted by the natural resource , thus the natural Rubber support can't fit the demand.Thus, the only way to solve the problem is export more natural Rubber.In this paper, the Shanghai Futures Exchange ("SHE") natural rubber futures market analysis of the effectiveness would be a good explanation. At the same time, it also seeks to constrain targeted policy recommendations that the natural rubber futures market and the natural rubber industry how to develop stably.This papers was based on the natural rubber futures basic theory,spot basic theory,the efficient market theory,the arbitrage pricing theory and other theories. In order to complain the validity of Chinese natural rubber futures market, we used SHE natural rubber futures and HaiNan natural rubber spot from two different angles of natural rubber futures price predictability and natural rubber futures price discovery functions .The results showed: SFE futures prices of natural rubber is affected mainly by domestic and international supply and demand of natural rubber, international market prices of natural rubber futures, the economic and social development level, the "China factor" affect natural rubber prices syntheic the production and application of the main use of plastic industry development, natural factors, political factors, policy and political changes, and other major factors.Papers used Autoregressive conditional heteroskedasticity Model and Generalized autoregressive conditional heteroskedasticity Model explain the futures market effectiveness by empirical analysis. The result found that natural rubber futures market volatility gathered obvious effect, ARCH effect, persistence is very obvious. But China's futures market is gradually mature phase, which is the weak-effective market, speculation and other factors, the overall investment in higher risk.