Empirical Study On Price Discovery Function Of PTA Futures Market

When the market economy has developed to a certain degree, the futures market has become an important part of market economy and plays an important role in our country. While dealing with the Chinese “New Normal State” of economic development, our country has put forward “the Belt and Road” initiative in order to establish the regional cooperation platform and develop the economic cooperation with other countries along the route. At the same time, four major domestic futures exchanges all have been promoting the establishment of international trading platform to enhance the international competitiveness in the field of the future market. Since the Zhengzhou Commodity Exchange has proposed the internationalized strategy for PTA, PTA futures price has become the international focus. Therefore, it has some practical significance for the research on the efficiency of the PTA futures price discovery function and on whether PTA futures have the international pricing power, and though research, some relevant advises can be provide for the PTA industry chain-related businesses to carry on the market hedging and risk aversion.Through the analysis on the research status of the home and abroad, it can be seen that there is a great amount of studies on the futures market from scholars both at home and abroad. No matter in theoretical foundation, empirical methods and research variety, the studies are continually enriched and innovated. From the theoretical basis, all of the researches based on the theory of Efficient Market theory and Cost of Carry theory. From the OLS estimation later to the ARMA model and to mow widely used in the VAR and VECM model, each empirical method is continually improved. From the initial agricultural products futures later to the non-ferrous metals futures and energy futures, and to financial futures and stock index futures now, the increase study of research variety can be stimulate more innovation.Learning from each other, different methods can explore the futures market potential. The PTA industry chain is a little longer, so the PTA price is much influenced by the supply and demand conditions of upstream and downstream products, including the upstream oil, the supply and demand of PX, downstream polyester and the demand of cotton goods and cotton. What's more, the international trade of PTA is very active, the PTA price will be influenced by RMB exchange rate and tariff policy.Taking PTA futures as the research objective, the empirical part of this thesis selected PTA futures and spot trading data from January, 2015 to January, 2016 as the support to carry on a analysis from three aspects, especially in correlation analysis, co-integration analysis and interaction analysis. First, by judging the relationship between PTA futures and spots through the PTA futures price and spot price trend diagram, scatter diagram and phase relationship indicator. The study found that the correlation coefficient of PTA futures price and spot price is 0.924, and showed that there is a positive correlation between them. Second, through the co-integration test to determine whether there is a co-integration relationship between the PTA futures price and spot price, research shows that there is a co-integration relationship between them, and build the VECM model to measure the short-term waveform between the PTA futures price and spot price. Finally, through the Grange causality test to analyze if there is a causal relationship between the PTA futures price and spot price, and judging the leading relationship between each other, the study found that the PTA futures price can have a impact on spot price, besides by impulse response and variance decomposition to determine a series of dynamic change after the impact suffered by the PTA futures price and spot price model. The results prove that PTA futures price plays a major role in contribution to PTA spot price, in PTA.market.Through the analysis of three aspects, on the whole that the price discovery function of PTA futures in China has been brought into play, futures price has played a guiding role to a certain extent.Although the PTA futures market has price discovery function in our country, but the PTA futures market and spot market has only one-way leading relationship. What's more, affected by many aspects, the international influence of China's PTA futures market is adequate, the pricing power to a great extent affected by the supply and demand of upstream and down stream. Market efficiency need to be improved urgently. So, for PTA and its associated enterprises, PTA leading enterprises should play the leading role in the advantages of technical personnel, speed up the independent innovation ability. According to their own needs, the enterprise conducts the hedging in futures market.For the futures exchange, they should achieve the linkage in their efforts, eliminate the intercity problem, improve the system of futures trading, integrate with international futures market, introduce foreign investors directly involved in the domestic futures market, increase the other futures varieties of PTA industry chain. For regulators, they should conduct a regulation transition, activate market, curb excessive speculation and develop institutional investors, improve the market efficiency. The new research objective and the unique way of selecting data are the innovations of this thesis. The limitations of this paper lies in the empirical method is not original, the empirical analysis results based on my own professional knowledge. Not serious explanations in this thesis still need specialists' comments.