The Study Of Futures Price Volatility

With the social and technological development, economic globalization has become the mainstream of the world, which is obviously demonstrated by the connection and integration of the international market. Through commodity trade and information dissemination, resources have been optimized in the worldwide. International future markets regulate allocation of global commodity and capital, and it is of great importance to study fluctuant relationship of feature market prices between domestic China and foreign countries.Based on the systemic description of the fluctuant characteristics of feature market price, the thesis attempts to analyze the fluctuant relationship of feature market prices between domestic China and foreign countries from the perspective of spatial market integration theory. On one side, market integration will influence the commodity trade between different markets; on the other side, it will have some impact on the information dissemination. The thesis will put the focus on the analysis and empirical research of fluctuant relationship of feature market prices between domestic China and foreign countries from the perspective of market information.By analysis, the thesis gets the following conclusions:(A) theoretically, there is integration relationship between the domestic and foreign future markets. There are two ways to achieve market integration. One is to integrate the markets through trades or arbitrage between different regions. (But not sufficient condition for market integration). The other is to achieve integrated change of price through the information transfer between markets without involving direct trade activities.(B) Empirically, the following conclusions have been got through the empirical analysis of data collected from the typical products in major futures markets in domestic China and foreign countries. (1) The price fluctuation of feature markets in domestic China and foreign countries is relevant, which has been strengthen with the carry out of open-up policy and development of domestic feature markets.(2) The author tries to determine the degree of information sharing between markets through the contribution of the new information shocks of variable on total factor variance.The long-term price influence of copper futures markets has been significantly enhanced. The Price discovery function of Dalian market is severely constrained by Chicago market. Wheat feature price in Chicago market is affected by our domestic feature market, and vice versa.(3) Adopting the two-parameter model EGARCH model which could reflect spillover effect of the link and fluctuation in both domestic and international futures market, the author attempts to study the volatility spillover effect. The volatility spillover effect in domestic and international copper feature markets on each other are similar, the foreign market to be slightly larger. For, Soybean futures, the international markets have a more significant impact on the domestic market, while for Wheat futures; the domestic market has a more significant impact on the international markets.