An Empirical Analysis On The Linkage Effect Between China 's Scrap Futures Market And Spot Market

The futures market is a very important part of a financial market, influencing the healthy development of the market for the economic development of a country. This paper mainly focuses on the China rebar futures market and spot market, and an empirical analysis of the linkage effect of the two as the method. This article through carries on the empirical analysis to the rebar futures market and spot market data, combining theory and practice of comparison, finally drawing the corresponding conclusion to the relevant administrative departments and enterprises for a certain enlightenment and reference.The steel output of our country plays a decisive role in world output, but the advantage is not in the international pricing power in china. Because the sharp fluctuations in international steel prices, steel prices in China have not hedging channel is very good, so that China’s steel prices over a period of time is likened to a "dancing on the tip". In March27,2009, China successfully launched the steel futures, which makes the above dilemma gradually change. At the launch of the five years, the overall linkage effects of China’s steel futures market and the spot market are good, but there are something that do not conform to the economic law phenomenon, affecting both one-way and price trend deviation phenomenon,which makes the linkage effect of rebar futures market,so spot market has been questioned.According to the definition of the linkage effects, the futures and spot markets should remain long-term price relatively stable situation, futures market and spot market mutual influence, mutual inhibition, and makes dynamic correlation coefficient is maintained at a certain level of line. At the same time, according to the law of one price and price convergence theory of futures market and spot market, the futures market and spot market prices should remain relatively stable state or the price convergence. Then according to the above explanation, we need through the three parts to illustrate the operation status of empirical linkage effects of steel futures market in our country is good. Through collecting and collating the data they have cointegration test to analyze long-term stable relationship exists, the dynamic trend and join the long-term stable relations of state space model that both to economic phenomenon we fit in. Then through the Grainger causality test and VAR estimation of causal relations in the two and influence between each test, also can indirectly reflect the linkage is good. Finally, the volatility spillover of both GARCH-BEKK model, the dynamic correlation coefficient obtained both as to overall evaluation linkage effect operation basis.Comparison and interpretation of the end of a link is the result of the empirical analysis and theory. When the results coincide with the theory, the steel futures market and spot market linkage thread effect in our country, the relevant departments of the policy and Practice for reference and continuity; when the results and theory is not consistent, must through the analysis of the realistic situation to find out the causes, and puts forward the corresponding solutions.