Statistical Research For Price-discovery Function Between Commodity Futures And Stock Index Futures

As an important trading mode in financial market, futures play a vital role in market stabilization and economic development. The initial kinds of subject matter for commodity futures were farm products, and then were in-dustrial supplies such as metal, rubber and crude oil. So future trading plays an important part to stabilize prices, to avoid from risk and to enhance market mobility.During the1970s, the booming of the capital market made the subject matter of futures move to capital market, which brought the birth of stock index futures. The trading of stock index futures are based on stock index and it has some affects the same with commodity futures. Besides, it has its own characteristics, including price spread settlement with cash, more sensitive to the capital market information and more diverse sources of risk.Whether commodity or stock index futures, people often concerns about the relationship between the prices of the future trading and the spot trading with the same subject matter. In particular, there exists a popular believe that the price of the futures has price-discovery function, which means it can produce a causal effect on the corresponding spot price. So I would like to do some empirical research on this relationship and the price-discovery function in this thesis.This thesis is divided into five parts and the core idea is to combine theory and practice.That means the theory leads the empirical analysis, while the empirical analysis inspects the theory.The first part introduce some background knowledge about commodity and stock index futures, such as origins, development, trading characteristics and differences, and point out the direction of this thesis-making comparation and analysis on the the relationships between the two future price and their corresponding spot price. In the second part, there is a brief overview about some earlier research in the related fields, which just illustrate the significance of this thesis. Besides, the innovation of this thesis is pointed out that it focus on the relationship in both kinds of futures at the same time. The third part gives a brief introduction about all the methods and theories in this thesis, in-cluding ADF unit root test, cointegration analysis, error correction model and Granger causality test. The fourth part is the empirical analysis. By collecting the relevant data, including Zhengzhou Cotton Future Prices, Chinese Cotton Price Index, CSI300Stock Index Future Prices and the CSI300Index Prices, and with the use of those methods above, the thesis brings a result that both kinds of futures have cointegration with the corresponding spot prices. Further analysis finds that there is a causal relationship between Zhengzhou Cotton Future Prices and Chinese Cotton Price, while the stock index futures does not have such a causal relationship. The fifth part, according to the result above and characteristics of China’s commodity markets and capital markets, conducts a final analysis and summary of the thesis and gives some guidance and advice to the participants of capital markets.