China's Nonferrous Metal Futures Functioning Of The Empirical Study Of The Effect

The non-ferrous metals futures has becoming a indispensable tool of pricing and risk manage that play an important role in avoiding risk and building a new market price system. So it has very important theoretical and practical value in the research of whether the non-ferrous metals futures market has price discovery function to help firms can hedge against risks. By means of empirical research of the hedge function and price-discovery function of china's non-ferrous metals futures, this article verify weather it can help the enterprise against risks. Meantime, in order to further standardize and develop the china's non-ferrous metals futures market, we find the defect of the market and give some corresponding countermeasures and suggestions in this article.The article introduces and analyzes the theory and current situation of empirical research of futures market's hedge function and price-discovery function firstly. Then, it give an empirical analysis of the price discovery and the hedging function of cooper, aluminum and zinc futures market by using ADF stationary test, VAR, Johansen co integration test, Granger Test, VEC, and variance decomposition. it use ECM and hedge performance measures to compute the optimal hedge ratio and hedging performance of cooper, aluminum and zinc futures, compare the result with each passing year to analyze the state of development of the hedge function in china's non-ferrous metals futures market. At the end, it sums up research conclusion and puts forward the corresponding policy recommendations.The main conclusions of this research are as follows:1. There is a long-run equilibrium relationship between the futures prices series and the Spot prices series of cooper. Using ADF stationary test and Johansen co integration test, it find that there is a long-run equilibrium relationship between the futures prices series and the Spot prices series of cooper, aluminum and zinc futures.2. China's non-ferrous metals futures market has the good capacity to find the real price. There exists mutual causality between the futures prices and the Spot prices of china's non-ferrous metals futures and them is the relationship that grades them by using Granger Test. The price discovery function of the cooper futures had performed 93.82 percent; the aluminum futures is 89.66 percent and the zinc is 77.19 percent. China's futures market has a dominant position in price discovery function, and its movement is well.3. The hedging function of China's non-ferrous metals futures market is better. The risk of the cooper, aluminum and zinc futures participants lower 59%,56% and 53% through hedging by using ECM. The hedges function of non-ferrous metals futures operate well.4. The hedging function performance of China's non-ferrous metals futures market is on the rise. In a word, from 2005 to 2009 the hedging function of non-ferrous metals futures is on the rise in china by computing the hedging performance of cooper and aluminum.