Empirical Research On Price Discovery Function Of China's Rebar Futures Market

2009 March 27, steel futures (rebar and wire) was officially listed and traded in the Shanghai futures exchange. This also is ten years later, the Chinese steel futures once again be traded. Futures market is an important component of modern market system, China's steel futures launch for the healthy development of China's steel market has great significance. One aspect can help wade steel enterprise to circumvent the cash market price risk, to lock the production cost, realize the purpose of the expected profits, on the other hand can attract investors to the influence of the numerous price of steel demand factors within the concentrated reflection to the futures market, forming of the futures price can accurately reflect true steel supply and demand and price trend of change. More importantly, Steel futures can establish launched with international standards for domestic prices of steel enterprise center, with foreign iron ore giant negotiations provide a sufficient price support.At present, China's steel futures market is in the initial stage of development. In this context, the study of Chinese steel price discovery function of futures markets to explore the reasons that affecting their functioning, for the promotion of healthy development of China's steel futures market, seeking international steel pricing highly beneficial.This paper firstly price discovery function of futures market the meaning and theoretical model and system basis and influence factors in theoretical discussion. Then on this basis, using cointegration test, vector auto-regressive model, Granger causality test, impulse response function and variance decomposition to study Chinese rebar futures market price discovery function. The results of the study show that:(1)China rebar futures prices and spot price exist long-run equilibrium relationship.(2)In the short term, the rebar futures price and spot price exist bi-directional leading relationship, and in the long term, bi-directional leading relationship also exist.(3)Spot price shocks and the futures price shocks are influential to spot price; spot price shocks and the futures price shocks are also influential to futures price.(4)China rebar futures market have a certain price discovery function, but rebar cash market in price discovery function relatively dominant in. Finally, this paper analyses the reasons of the futures market for Chinese rebar can play price discovery function, and put forward some further development suggestions.