The Empirical Research Of Shanghai Futures Exchange Rebar Futures Price Forming Mechanism

Our country is the world’s largest steel producer and consumer, as well as steel import and export power. As an important raw material production and construction of national life, fluctuations in steel prices is strongly influenced by the national economy, in order to ensure steady economic development and avoid risk, The China securities supervision commission launch steel futures in Shanghai futures exchange on March 27,2009, include rebar futures and the steel wire rod futures. The launching of steel futures effectively avoid the steel producers’ economic losses in China due to the sharp fluctuations in steel prices.The econometric methods are used to do empirical research for rebar futures price in Shanghai futures exchange and the main influence factors. First of all, based on the review of domestic and international futures price forming theory and analysis of the formation mechanism of rebar futures prices, rebar futures price influencing factors can be divided into macro and micro two aspects, and then selecting influencing factors are rebar spot prices, the Shanghai composite index, industrial added value growth rate, real estate investment completed; Secondly, this paper applied mathematical statistics method and JB test for empirical research of rebar futures price in Shanghai futures exchange and the main influence factors, by inspection, the rebar futures prices and influence factors of data obey the normal distribution; Again, in this paper, the application sequences related to test the effectiveness of the rebar futures prices for inspection, inspection showed that the Shanghai futures exchange for rebar futures markets is weak form efficient; Then, the paper through the analysis of Granger causality test between rebar futures prices and influence factors, then get the guide relationship. Results show that the selected factors can be used as a dependent variable to explain changes in the rebar futures prices, lays the foundation for the regression model.This article first through the futures price compared with various influencing factors of line chart analyzes the relations between futures price and the influence factors:lag of rebar spot prices, two phase lag in the Shanghai index, the lag issue of industrial added value growth rate, at the same time introduce the virtual variables of futures prices fell. Stepwise regression method is adopted to establish the rebar futures prices multivariate regression model, and the model test results show that the goodness of fit of the model reached 90%, and the reliability of the model reached 98%, so the model has a high practical significance.