Researches About The Efficiency Of Non-ferrous Metal Futures Market In China

Since the2008financial crisis break out,the world economy has gone into a period of upsand downs.The uncertainties of the world economy will no doubt make the staplecommodity price ups and downs,exacerbating the uncertainty of enterprises operatingearnings (price rises affect the interests of consumers,while,When prices fall, it seriouslyaffect the interests of the producers),the situation of the Enterprise production and operationis grim;Meanwhile,with the further development of market economy in our country,thegovernment reduced the degree of direct market intervention and the mandatory plans onnon-ferrous metal products has reduced year by year,market regulation mechanism areplaying a more and more mainstay role.This increases the price and other market riskexposure of nonferrous metal products,and then highlights the importance of the futuresmarket in price discovery and price risk management,and so dose the rely of enterprise onthe futures market.The non-ferrous metals futures market provides a responsive unifiedmarket pricing system for the non-ferrous industry,the purpose of this article is to study theefficiency of non-ferrous metals futures market in China,from the angle of the relationsbetween non-ferrous metals futures and spot market price,so that we could provide importantprice reference information for the market participants and so they could reduce risk、lock inprofits through the futures market，and more important,it could provide theoretical basis forthe management to make more efficient intercity regulatory policies、laws and regulations.This paper, by using Johansen cointegration test, Granger causality test and impulse responsefunction,explores the efficiency of three varieties of non-ferrous metals futures market tradedin Shanghai futures exchange,one of the largest futures market in China;The research resultsshow that there are obvious co-integration relationship between the futures price and spotprice of the selected three non-ferrous metal products—copper, aluminum and zinc.Grangercausality test further subdivise the non-ferrous metals based on inspecting the price guidingdirection relationship between futures and spot price;The Granger causality test onshort-term relationship showed that,compared with zinc,the ability of futures markets inpredicting subsequent spot market prices is more obvious on copper and aluminum futuresvarieties;At the same time,to copper and aluminum,there is bi-direction price leadingrelationship between their futures and spot price.The results of my research are of important reference significance and use value to variousstakeholders active in the non-ferrous metals market,such as puodcers,traders,futures trading participants and policy makers.