Empirical Study On Relations Between Futures Price And Spot Price In China's Metal Commodity Market

Nowadays, the futures markets are playing an increasing important role in the stability of the economy. Mature futures markets make great influences on both the domestic and international spot markets. With the establishment of the market economy in China, futures markets have become significantly important in both stabilizing economy and regulating the supply and demand on the spot markets.Risks hedging and price discovering are two fundamental functions of the futures market. Whether a futures market has these two functions are always the great concern and debated issue among the researchers. Observing the relations between the futures market price and spot market price is a useful way to study this topic.The purpose of this paper is to study the relations between China's commodity futures markets and spot markets by the modern Econometrics and to find the dynamic equilibrium relations between these two markets. Taking the metal commodity futures markets and spot markets in China as background, selecting the daily data of the aluminum and copper futures contract prices on Shanghai Future Exchange and their relevant prices in spot markets, this paper takes Correlation coefficient and basis analysis, co-integration test and VECM analysis, Granger causality test and impulse responses analysis, G-S and permanent transitory model analysis, EGARCH model and BEKK model analysis. This paper draws the conclusions as following: there are long-term equilibrium connections and causality relations between the futures price and spot price, the shock of the new information has the asymmetric effects on futures and spot markets, the futures markets in our country has the good base for arbitraging, the futures markets and spot markets have good mutual leading relations, the price discovering function of the futures market has been improving. This study greatly supports the point that the China's metal futures markets have the functions of risks arbitraging and price discovering.