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Empirical Research on Price Discovery Function of China’s Rebar Futures Market

Author: YuXiaoJiang
Tutor: WangJinZhong
School: Southwestern University of Finance and Economics
Course: Financial Engineering
Keywords: Price discovery Cointegration test VAR model Impulse response function Variance decomposition
CLC: F426.31;F724.5
Type: Master's thesis
Year: 2011
Downloads: 94
Quote: 0
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Abstract


March 27, 2009, steel futures (rebar and wire rod) in the Shanghai Futures Exchange listing and trading. It is also more than a decade, China's steel futures trading once again restored. The futures market as an important part of the modern market system, the introduction of steel futures has an extremely important significance for the healthy development of China's steel market, its steel-related enterprises to avoid the spot market price risk on the one hand to help, to lock the cost of production, achieve the expected profit, on the other hand can attract investors to the impact of steel prices concentration of supply and demand factors are reflected in the futures market, the formation of futures prices to more accurately reflect the real steel supply and demand situation and the trend of price movements. More importantly, the introduction of steel futures, you can create a center of international prices, domestic iron and steel enterprises with foreign iron ore giant negotiations provide an adequate price support. At present, China's steel futures market is in the initial stage of development, in this context, the study of Chinese steel futures market price discovery function to play a position to explore the reasons influence their performance, to promote the healthy development of China's steel futures market, for international steel pricing is a great benefit. Firstly the meaning of the features found on the futures market price, the theoretical model of the institutional basis and factors influencing the theoretical discussion, and then on this basis, the co-integration test and VAR model, Granger causality test, impulse response function rebar futures price discovery function of the empirical analysis and variance decomposition results show that: (1) there is a long-run equilibrium relationship between China rebar futures prices and spot prices. (2) in the short term, rebar futures prices and spot prices between two-way guide the relationship in the long term, there are also two-way guide the relationship. (3) the impact of the spot price and futures price shocks affect the price on the spot, but the impact of the futures prices on the spot price is a little weaker; the impact of the spot price and the futures price shocks also have an impact on the futures prices, the impact of futures prices to their own relatively strong. (4) China rebar futures markets have a certain price discovery function, the rebar spot market price discovery relative dominate. Finally, be able to play the Chinese rebar futures market price discovery function of reason analysis and further development proposals.

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CLC: > Economic > Trade and Economic > China's domestic trade and economic > Circulation of commodities > Futures Trading
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