The Analysis Of The Volatility Spillover Effects Among Chinese Metal Futures Markets

In recent years,China's commodity futures market has developed rapidly,with trading varieties being enriched day by day and participation of trading being increasingly active.By the end of 2010,there were 23 future contracts undertrading in China's three major commodity exchangesin total,while this number increased to 45 by the end of 2015,among which there were 8 contracts including Coking coal and iron ore listed.With regard to the trading volume,China's commodity futures completed an amount of trading of 3226 million hands,nearly 60 times compared to the volume 54.63 million hands of 2000.The development of commodity futures has promoted the prosperity of China's financial derivatives markets,and provided a hedge and investment channel for relevant enterprises and investors in China.Rebar,copper and aluminum futures all belong to metal futures trading varieties,which are listed on the Shanghai Futures Exchange.With their important position in the national economy,demand of hedging and arbitrage using futures of enterprises upstream and downstream of the the industrial chain and demand of speculative transaction of speculator have always been strong,as a result,rebar,copper and aluminum futureshas been keeping high positions and trading volume and trading activity is also located in the forefront of Shanghai futures exchange since they were listed.In recent years,prices of mental futures fluctuated violently.Take rebar for example:In the year 2009,Shanghai Futures Exchange listed rebar futures contracts,which went a trend of "roller coaster" in the beginning:in less than four months,the main rebar contract rose from the lowest point of 3427 yuan to 4972 yuan,which was equal to 45%,while just after a month's time,the main contracts dropped to the lowest 3599 yuan,with the biggest decline nearly 30%,rebar futures contracts had been a continuation of the market wide shocks in the following years.From the highest 5230 yuan of 2011,rebar drop to the lowest 1618 yuan in the end of 2015,with a drop of 70%.However,rebar began a increase at the beginning of 2016,with a increase of 72%to the highest.Rebar,copper and aluminum futures all belong to metal futures trading varieties,which are listed on the Shanghai Futures Exchange.With their important position in the national economy,the violent fluctuation in recent years has placed a great influence on the enterprises upstream and downstream of the the industrial chain.The existence of the futures market provides a channel for the relevant enterprises to use the futures hedging and arbitrage,and the volatility of the futures prices also promotes the research of the volatility of the futures market.In view of this,this paper attempts to do an empirical research on the volatility spillover effects among the three futures varieties,trying to provide reference for investors to use futures hedging and arbitrage cross species and policy makers to develop macroeconomic policies.Based on BEKK-GARCH(1,1)model,this paper selects daily closing price of rebar,copper and aluminum futures from September 2nd of 2009 to June 30th of 2016 arnd studies the volatilities spillover effect among them.The result shows that there are significant bidirectional volatility spillover effect between every two of the threefutures,which is result from that the three all belong to metal futures and they are affected by the same external factors.But the volatility spillover effect among the three are different,for example,copper and aluminum futures volatility spillover effect to rebar futures is significantly stronger than rebar futures to the two.According to the conclusion of the empirical research,this paper puts forward the relevant investment and policy recommendations for investors and policy makers.