The Relationship Between Chinese Commodity Futures Price And Listed Companies' Equity Price

This paper focuses on the relationship between price of commodity futures and the stock price of listed Companies.Futures price reflects the change of the economy and the economic situation influences the performance of the listed companies.Meanwhile,the futures price directly affects the listed companies' benefit and cost.Therefore.the futures price may have effect on the stock price of listed companies.And they are both affected by the liquidity and policy,so they may have the relationship.We investigate the copper future and the stocks price of listed companies in Shanghai and Shenzhen Stock Exchange.We test the long run equilibrium relationship between stock price,excluding the effect of market index. and corresponding futures price and the information spillover effects.In this paper. Johansen method is applied to examine cointegration relationship so as to determine the vector error-correction model.We also use VAR-BEKK-MVGARCH model to analyze the information spillover effect of both mean and volatility.The result of the research shows that there is indeed a long-term cointegration relationship between the prices of copper futures price and stock prices after excluding the impacts of market index.There is no mean information spillover effect but strong volatility spillover effect.Therefore we can provide decision-making reference for investors who look for investment opportunities or deal with risk management.The information spillover effect can also be referenced for the finance policy-making and market supervision.