A Study Of Information Transmission And Price Discovery Mechanisms Between Chinese And Overseas Futures Markets

Under the global economic and market integral background, all the national governments attach importance to the development of native futures markets and competition of international finance trading pricing. The pivotal intention is to despoil pricing center or share the profit of pricing center. It has been ten years from academic research to pilot practice on Chinese futures markets. The key point of this dissertation is to research on Chinese futures markets information transmitting and price discovering system then present countermeasures on the function improvements and enhancing pricing strategic status for Chinese futures markets.Section 1 is introductory part. Topical background and significance, method and approach will be briefly introduced.Section 2 is literature summarize part. Systemic retrospection will be well done on the side of future markets pricing discovery and volatility spillovers and so on. The comment of native and national research actuality will be given out.Section 3 is to ascertain the influencing information linkages, market information transmitting and price discovery reasons. Analyze from several different points of view including market opening extent, exchange costs, market fluidity, margin system, and price limits system and so on.Section 4 is demonstration research on the price discovery function of Chinese futures markets which is based on the swatch from 1998-1-2 to 2005-12-30. Interrelated analysis, co-integration test, ECM, variance decomposition method will be used to unveil the function copper, aluminum, soybean, soybean meal and wheat in the native and national futures markets. The integrated comment on the run efficiency of Chinese futures markets will be given out.Section 5 is demonstration research on price undulation and volatility spillovers affection. Recurring to AR-EGARCH (t) model, researches will be done on the linkages between the volatility of the markets.Section 6 is the conclusion and suggestion part. According to the summary of Chinese futures markets information transmission, price discovery theory and demonstration research, the suggestion on that how to consummate our native futures markets price discovery function and enhance strategic status of Chinese futures pricing rights will be brought out.