A Study On Comovement Between Return Of Steel Futures And Stock Price Associated

China has the biggest steel production and consumption scale around the world. Under the policy of investment boosting, the steel industry has made rapid development, while the corresponding steel companies is also rapidly expanding in this context. Chinese future contracts including Rebar, Wire Rod, coke, coking coal and ferroalloy are enhancing the finance characteristics of steel. Meanwhile, the relationship between stock price of steel companies and the steel price has been increasing quickly. This paper empirically explored and analyzed the characteristics of this relationship in order to help investors understanding the regular pattern of the two markets; it also can provide some reference data for policy development and leading for new ideas of investment..Based on relevant books and literatures, the static estimation is made to verify the validity and relevance of steel futures return and stocks return of listed companies. Then dynamic estimation is made on basis of the yield rate of the two markets. After using the DCC-GARCH model to acquire the correlation coefficient between stock market and futures market, the paper has given a detailed explanation and policy recommendations.According to results of static estimation, the yield rate of steel future has been playing a guiding role in the linkage of two markets. And the correlation coefficient of the two markets lies at the middle level based on the dynamic yield results, and coefficient is showing a decrease trend, which indicating the effectiveness of cross-market arbitrage is weakening and more changes in policies show be made to enhance the linkage in order to establish a more efficient financial market.