The Research On The Price Volatility&Market Efficiency Of Copper Futures Of Shfe

After more than ten years of development, the operational status of China’s futures market has been greatly improved, in particularly in:the macro and micro base of futures markets has been significantly improved and strengthened; the price formation mechanism has been initially formatted; the basic functions of the futures market and the market efficiency are gradually improved. Even so, our futures market is still a emerging market, there are still many deficiencies compared with the mature markets. Now we are opening our finance market to the world and introducing financial derivatives.So it has great theoretical and practical significance to discover and summarize characteristics of the price volatility and market efficiency of our futures markets.The modern financial time series analysis methods are used for the research.This thesis analyzes the characteristics of the price volatility of copper future, the relationship between future price and spot price, and the interaction between domestic and abroad future markets. After this basic demonstration, the price discovery and international price-making efficiencies of copper future markets are evaluated. Finally the suggests on the development of metal futures markets are proposed.There are six chapters in this thesis。Chapter1mainly introduces the purpose, background, and meaning of the thesis, then reviews the current research on price volatility and market efficiency of metal futures markets, in the end the research methods are also gived.Chapter2introduces the basic theory used in the research work in which some relevant concepts and objects are defined. This part also elaborates the mechanism of generation of price volatility and market efficiency system, demonstrated the relationship between price volatility and market efficiency.Chapter3gives a thorough empirical research on the characteristics of volatility of copper future price of domestic and foreign markets. The basic statistics for the copper future price series includes normality, heteroskedasticity, autocorrelation, etc.Chapter4is about price discovery efficiency of copper future market. This part evaluates the market efficiency of domestic copper future using Granger causality test, cointegration test and Error correction model. The results indicate that there are cointegration relationship between future price and spot price and the future price can accurately predict the spot price. So the domestic future market performs price discovery function well.Chapter5analyze international price-making efficiency of Chinese copper future market. The result is that LME copper future price influenced SHFE copper future price significantly. So, SHFE has a lower efficiency in the process of international price-making.Chapter6summarizes the results of the empirical analysis, and studies the micro factors of the futures markets so as to find a way to improve the efficiency of the domestic metal futures markets.