Empirical Research Of Price Discovery In China

A mature market should include the spot market and futures market. The health development of the futures market is conducive to the stability of economic development, provide a reasonable investment channels and provide certain support for the formation of the spot market price. Its status in the national economy plays an irreplaceable importance. Futures market has two big functions, risk aversion and the price discovery function. The price discovery function of the futures market is most existence and development of the foundation. Whether the price discovery function effectively is the evaluation of a futures market operation is important health standard.Screw steel since 2009 March listed so far is full three years, but the research on market operation system of article is still not much. In this paper, combined with the Shanghai futures exchange in 2009 October to 2011 December, the main futures contract as well as the Shanghai area spot price of steel of the 500 sets of data. made detailed analysis research system on them,and evaluate the results.The result is:the futures market after three years of development gradually into the mature stage, the price discovery function effectively played.This paper first introduces the background and significance of topics, and on the domestic and foreign scholars to the study on price discovery function of the classification and analysis. In the second chapter mainly introduces the origin, development,function and structure of the futures market.,further analysis of the futures price formation, with the relationship of the spot price, and the futures market two big functions especially the price discovery function in detail. The third chapter mainly to the world and our country’s steel futures market development and current situation overview, also on the characteristics and development of screw thread steel futures are analyzed. The fourth chapter is the key of the passage, on the basis of Var model, Firstly, descript the theory of. then analysis the steel spot and futures price based empirical,and get the final results. The last chapter, analysis the cause and problem according to the empirical results.and give some personal suggestions.