The Study On The Relationship Between The Price Of China's Non-ferrous Metals Futures And The Price Of Stock In The Same Industry

With the development of world economy, futures has gradually become an important financial derivative products. As we all know, mature futures markets has the function of price discovery. Market participants can take advantage of the price discovery function of futures markets, to enhance their ability to adapt to the market. Therefore, in recent years, more and more producers use this function of futures to improve operational performance. The change of the futures price brings direct or indirect effect on the achievement of listed company related and their stock price. So futures has become a very important role in the stock pricing.Now, most research on financial markets are concentrated in the stock market, money market, and other markets. The research on Futures markets, especially the inherent link between prices of futures and stocks are very little. To compensate for this lack of research, this paper, based on the efficient market theory, try to grasp the linkage of China's commodity futures market and the stock market operations by using econometric methods and models related.Based on the method of co-integration theory, the Granger Causality Test, error correction model, we further analyze the price discovery relationship between the price of copper futures and the stock price index of copper companies. The results show that the price of copper futures has the same long-term trend as copper upstream stock index and copper futures price guides the stock price index in the unilateral way. Bringing the price information of cooper futures into the system will help us to improve the accuracy of forecasting the price of copper upstream stock. However, the price of copper futures hasn't the same long-term trend as copper downstream stock index. This conclusion may be related to the effectiveness of China's futures market and stock market.Through this research, it doesn't only help us make decision, but also extend the futures price discovery function to stock market, lengthen the research chain of virtual capital market.