The Empirical Study On The Relationship Between Copper Futures Price And Copper Stock Price In China

Along with market economy system reform goes forward continuously, China's futures market runs for 29 years. After the startup, standard to improve and standardize development these three stages, in the futures market all sorts of laws and regulations have been establish gradually, and the market transaction has been regulated greatly. Since 2001, China's futures market turnover continuously being increased, and reached 130.51 trillion RMB in 2009, having stepped into quadrillion scale era. The cathode copper futures contract in Shanghai Futures Exchange has become one of the most mature futures contracts in China futures market, and many domestic researches showed that the copper price already has price discovery function, the copper futures price change would guide domestic copper cash market price changes. And copper price change would cause investors carry revaluation for the expected value of copper production enterprises and copper processing enterprises, resulting in the enterprise's stock price changes.This paper selects daily closing prices of copper futures and copper stocks from September 21,2007 to December 31,2009 as the empirical research object, and sorts the copper listed companies into copper upstream and downstream enterprises according to the main business to construct a corresponding stock index. On this basis, the author use ADF unit root test, vector autoregression model, Johansen co-integration test, impulse response function and variance decomposition and Granger causality test these six econometric methods to do an empirical analysis on correlation between copper futures price and copper stocks price.The empirical analysis result shows that China's copper futures price changes leads shares price change of copper enterprises, and their change trends have positive correlation with each other--copper futures price rising can cause copper enterprises share price rise and vice versa. The meaning of test on the dynamic changing relationship between copper futures price and copper stock price are:utilizing price fluctuation information in futures market to guide investors getting early judgment for the stock market price trend, obtaining leading advantage; guiding investors to realize the hedging process through the linkage effect between the futures market and the stock market to realize hedge operation, while there still lack shorting mechanism in China's stock market.