Research On The Correlation Between The Price Of Iron Ore Futures And The Stock Price Of Iron And Steel Industry In China

In February 2,2018,the SFC identified iron ore futures as a specific breed in China.DCE will gradually introduce overseas traders to participate in the domestic iron ore futures trading,which indicates that the internationalization of China's iron ore futures has entered the "countdown",In May 4th,iron ore futures have become the first international breed of domestic futures.The price of raw material has a great influence on the production cost and performance of the listed company.The operating performance of the listed companies can be affected by changing the production cost According to the effective market theory,the fluctuation of the stock price directly reflects the performance of the company,so the price of the raw material will have a certain influence on the related listed company.There is a certain influence on life.Futures have the function of price discovery,and futures prices of raw materials have a certain impact on the share prices of related listed companies.In this paper,the daily closing price of iron ore futures and the stock price index of iron and steel industry from June 3,2014 to December 31,2017 are selected as the empirical research.By using unit root test,impulse response function,variance decomposition and Granger causality test,the correlation between iron ore futures price and stock price index of iron and steel industry is empirically analyzed.The empirical results show that the price change of iron ore futures is the Granger reason for the change of the stock price in the steel industry.Because of the instability of the first stage futures market,Granger causality is different from the second stage.Through the empirical study on the correlation between the price of iron ore futures and the stock price of iron and steel industry,it can make the investors consider the influence of the raw material futures price on the stock price of the related industries in the investment decision,obtain the information advantage,predict the trend of the stock price in advance and make scientific decision.