Research On Dalian Iron Ore Futures Price Discovery Function Based On PT-IS Model

As an important part of China's multi-level capital market,the futures market is becoming more and more mature,playing an increasingly important role in serving the national strategy and serving the real economy.In May 2018,China's iron ore futures market officially introduced foreign traders,achieving a major breakthrough in the opening of domestic listed varieties.This is an exploration of the internationalization of commodity futures market,and also a typical representative of China's futures market opening to the outside world.The development and internationalization of the futures market represented by iron ore will effectively serve China's “Belt and Road” strategy and the opening strategy of the financial market,and on the other hand,it will deepen the development of China's real economy.At the same time,the internationalization of the iron ore futures market has put forward higher requirements for iron ore futures to improve basic functions such as price discovery faster and better.Since the end of June 2017,the futures and spot price of iron ore in China have begun to show a relatively strong trend of increase,which has led to some doubts about the price discovery function of the market.In order to clarify relevant issues,it is necessary to conduct targeted research.This thesis mainly adopts empirical research methods,selects data of two time series in long and short period,and uses model and data test to explore the role and contribution of spot and futures market in price discovery.This lays a foundation of estimating the actual situation of the function of China's iron ore futures market.This thesis is divided into five chapters,the first chapter is the introduction,the main part is 2-4 chapters,and the fifth chapter is the conclusion and policy recommendations.The introduction mainly clarifies the background,significance and ideas of the research.Chapter 2 mainly solves three fundamental problems.This chapter analyzes the current status of China's iron ore futures market,pointing out that the market is running well and stable,and has begun to achieve internationalization and is committed to forming new pricing benchmarks.Next,this chapter clarifies the basic situation and significance of internationalization of China's iron ore futures market.Then,this chapter summarizes the meaning and significance of price discovery function from the perspective of the futures market,and explains and analyzes the measurement methods of the price discovery function in the futures market,laying a theoretical foundation for the later analysis.Chapter 3 is the empirical analysis part.On the basis of unit root test,cointegration test and Granger causality test,this thesis conducts an empirical analysis by PT-IS model to show the price discovery function of China's iron ore futures market from the perspective of short period and long period.The empirical results show that from the long-term perspective,the iron ore futures market has a leading role in price discovery;from a short-term perspective,the iron ore spot market plays a more important role in price discovery.On the basis of the empirical analysis,Chapter 4 analyzes the causes and logic behind iron ore price staged fluctuations.it is possible to make a more objective and comprehensive judgment on the actual situation of price discovery function of China's iron ore futures.It can be seen from the analysis that the combined effects of iron ore supply and demand imbalance,structural adjustment of iron ore supply and demand,and price impact of related products are the reasons for the stage fluctuation of iron ore price.However,the impact of the staged external environment and factors does not mean problems existing in the price discovery function of China's iron ore futures market.Chapter 5 is the conclusion and policy recommendations section.The main research conclusions include: China's iron ore futures market is running well and has effectively played the role of price discovery;the price fluctuation of China's iron ore market has a spot basis,which is normal market fluctuation;China's iron ore futures market still has great development space.On this basis,this thesis suggests that the monitoring and analysis of market prices should be strengthened,the futures market should be used to optimize the iron ore pricing mechanism,the ability of serving the steel industry of futures market should be improved,and the internationalization of the iron ore futures market should be promoted.A public opinion environment benefit for China's futures market should also be created.