Empirical Studies Of The Effectiveness Of The Copper Futures Market

Since Reform and Opening policy, China's economy has achieved rapid development. With China's rapidly growing demand for copper, China surpassed the United States as the world's largest copper consumer in 2003. However a large amount of copper resources, every year have to import large quantities of copper. As China's late start of Copper futures market, the international pricing of copper has been firmly in the hands of the few Western countries. Although in recent years, the Shanghai Futures Exchange (SHFE) copper futures market has become the second largest copper futures market, only behind the London Metal Exchange (LME), and has achieved some international pricing power the global copper market, but the copper and China consumption and production is still a big gap, and this is clearly unfair to us. If don't effectively improve the situation, a direct consequence of the impact of China's economic development, more serious to constitute a major threat to our economic security.Price discovery is a basic function of futures market, and it is also the foundation of venture investment and hedge, so we should enhance price discovery function it we want to enhance the function of future market. Therefore, it has undoubtedly significant theoretic meaning and practice value to research the state of price discovery function of the future copper market of SHFE.With the research object of Shanghai copper futures price and spot price, this paper conducts an empirical study of Shanghai copper futures market efficiency. In conclusion, the research results at home and abroad after the contract for Shanghai copper futures market and make a more detailed description and analysis of cost of ownership, the efficient market hypothesis, portfolio hedging and arbitrage pricing theory of futures market prices In this paper, ADF stationary test, Johansen cointegration test. Granger causality test, Garbade-Silber model. Impulse Response Function and the Information Share Model for Shanghai copper futures contract price and spot price relationship between the empirical test and analysis of the current prices obtained are not stable, there is cointegration between the futures market spot market price is greater than the contribution of the research findings, and finally put forward to improve the efficiency of China's Shanghai copper futures market, a number of policy recommendations for decision makers. This study to improve the efficiency of China's copper futures market is undoubtedly of great ideas and practical significance.