| Along with the globalization of economy and the liberalization of finance, the mutual linkage and influence among global financial markets have been closer and is increasingly strong among the futures market in cotton. Futures market is one of the important part of financial market not because the futures market provides investors with effective tool for evading market risk, but injects new vitality to the rapid and healthy development of national economy. Therefore, the cotton futures market, an important part of the futures market, has the important position either in China or in the global futures market.The article selected China’s Zhengzhou Futures Exchange and United States cotton futures on the New York Mercantile Exchange as a research object. The conclusions are as following based on our research: Firstly, the price index series of the cotton futures market in Zhengzhou and New York are non-white noise process and return series are white noise process; Unit root tests show that both of price index series of cotton futures market are stationary sequence and return series are stationary series. Secondly, there is a long-term equilibrium and stable relationship between the cotton futures markets in Zhengzhou and New York. At the same time, the cotton future market of New York has a deep influence on the cotton future market of Zhengzhou by the analysis of linkage about cotton futures market both China and US. Meanwhile, there is a short-term dynamic relationship between two cotton futures markets. Then, the cotton futures prices of New York and Zhengzhou are bidirectional Granger causality, which means New York and Zhengzhou guide each other in cotton futures price. Finally, both under the condition of static and dynamic conditions, the two markets have significant correlation and the dynamic correlation particularly evident, which shows that the correlation of cotton futures market in China and the United States gradually enhanced. |
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