An Empirical Study Of Transmission Effect Between The Future And Spot Prices Of Bulk Metals In China

During 25 years of development, the futures market has become an important part of China’s capital market, and gradually played an effect of "price discovery, risk aversion", which providing an effective means and risk management place for the healthy development and stable operation of the national economy. Due to the high relevance between futures market and spot market of bulk metals, but also there is a certain correlation between varieties of bulk metals in the futures market, so the price of one variety of futures markets also have some connection with other related futures products. This paper hypothesizes that, there is a correlation between futures and spot prices of the bulk metals, and presumably, the price of one variety of the bulk metals in futures or spot markets may also have a price guiding effect with another related variety of bulk metals. Thus, according to the research findings, this paper will provide policy recommendations for market participants of various types.In the introduction part, the paper mainly introduces the research background, the discovery of the problem, and put forward the domestic and foreign research, the research methods and research ideas, research purpose and significance, and the possible innovations and shortcomings. In the current market and problems part, it introduces the basic situation of China’s futures and spot markets of bulk metals, the positive effects of the markets, and the existing problems, to lay the foundation for later analysis, In the theory part, it introduces some theories about the effect of price and its application in China’s commodity metal market, including the analysis of release and transmission effect of price signals in the futures and spot markets, hedging theory analysis, relationship between the spot spread and arbitrage analysis, complementary and alternative theoretical analysis. In the part of the empirical analysis, at first, explain the source of datas, and make explanations; Secondly, have a calculation for the price daviate rate between the 3-Mouth-Later futures and spot prices of varieties of metals in China, and think that prices between futures and spot of commodity metals have no large deviation in China; Again, on the same variety in bulk metal, the paper have a analysis of price transmission effect between futures and the spot markets, giving the quantitative description of the price transmission relationship of futures and spot prices between; Next, to carry on the analysis between aluminum, copper, lead and zinc as 4 metals in futures or spot prices, but think that there is no cointegration relationship between them; But, between the 2 traditional bulk metals, aluminum and copper with high correlation coefficients, there is a cointegration relationship, the paper gives quantitative research; Finally, the part have a conclusion of the summary. In conclusion and policy suggestion part, the conclusion thinks prices of all varieties commodity metal in the futures and spot market in China did not occur a large deviation, and price changes are consistent; In China, aluminum, copper, lead and zinc,4 varieties of metals all meet the guiding relationship from the futures prices to spot prices, but in turn, aluminum and lead all do not show the guiding relationship to the futurs prices, but copper meet this relationship; According to the Grainger causality test, prices in 3-Mouth-Later futures, copper and aluminum meet bidirectional Grainger guide; the spot price of copper meet one-way guide to aluminum, not vice versa. In this proposal, the paper suggests, the spot market participants of futures and spot markets should pay close attention to the price trends of various types of related commodity futures and spot prices, to grasp the accuracy requirements of direction and the amount of investments; Short-term speculators in the market, the hedging enterprise, should grasp the opportunity of price changes in futures and spot market, to have a good investment; Also the paper suggests the government departments to pay attention to the linkage effects of price changes in the national economic management, and take good macro-control measures...