Research On The Relatiaoship Between Iorn Ore Futures Price And Spot Price

From the reform and opening up,China's economy has developed rapidly,and has made remarkable achievements,and is increasingly closely linked with the world economy.In this context,commodity trade is booming,steel,ore,chemical and other raw materials,as well as bulk energy,agricultural products play an important role in supporting economic development.Commodities are often traded in large volumes,price volatility is obvious,global circulation is large,so the transaction links are complex,contains a greater price risk.Among them,iron ore is an important support for China's industrial take-off,needs a large number of imports and the international pricing power has long been monopolized by international giants,so China is faced with many uncertainties in the iron ore trade when the price risk.As a risk management tool,futures play an important role in providing price discovery for enterprises and institutional investors and hedging by futures as a platform to avoid risks.It has become an important tool for risk management and building core competitiveness of enterprises.In 2013,Dalian Commodity Exchange took the lead in introducing iron ore futures.Many enterprises took advantage of this futures contract to hedge.In the Chinese market,most people mainly studied the hedging effect of futures on spot and the optimal hedging ratio.However,the relationship between futures price and spot price is still few.This paper focuses on the relationship between iron ore futures price and spot price,that is,the impact of futures on spot,the impact of spot on futures and the relationship between long-term and short-term.In the empirical research method,time series modeling is used,and stationarity test,cointegration test,Granger causality test and variance decomposition are used to analyze.The empirical research in this paper is innovative.Through the analysis and research,this paper finds that through the study of the change of futures prices,we find out the laws and trends,which has a positive effect on the study of the change of spot prices.The change of futures price is bigger than the spot price,which is mainly due to the late start of the iron ore futures market in China and the imperfect development.Because of the influence of the transmission mechanism between the futures markets,the sharp changes in futures'prices have had an impact on spot prices.Futures represented by iron ore have,to a certain extent,caused a relatively strong change in the price of the spot market.At the same time,spot prices also affect futures to some extent.In terms of time cycle,short-term futures prices are more volatile than spot,but in the medium term,futures prices will return to spot.In addition to confirming the traditional value of the spot price,this paper concludes that the spot price will react to the futures in different degrees,and the trend between the two tends to be consistent.Finally,this paper puts forward some pertinent policy suggestions for the above problems.