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China's futures market since its inception in the early 1990s, has experienced unusual path of development, many violations, prejudice the futures market, the doubt and waver on the function and role of the futures market, which seriously hampered the development of China's futures market. After rectifying and standardizing the past few years, China's futures market, the market environment, internal structure, market size, great changes, but the operating efficiency of the futures market, function, role play, the lack of in-depth understanding and comprehensive grasp . With China's rapid economic growth, China's futures market is facing good opportunities for development, stock index futures also ready to come out, and therefore essential to strengthen theoretical research on China's futures market. Price discovery function as the basis of the existence and development of the entire futures market, but also futures market hedging function play a role in the premise, and has a special significance for the futures market. Based on this, the study identified as the research object to China's futures market, focusing on the relationship of China's futures market price discovery validity and futures market prices at home and abroad, identify the weak link in the development of China's futures market, found that restricting China's futures market international pricing key factors in turn asked the targeted improvements and suggestions. Learn from internationally popular price discovery validation method - cointegration theory, the investigation found that the effectiveness of China's copper futures, soybean futures, Cotton futures and London copper futures prices, found that: their price discovery function. effective at 1% significance level. Mckenzie Holt and Kellard The results also show that the soybean in Chicago and New York cotton price discovery function effectively. In the price discovery function effectively on the basis of the three varieties futures prices at home and abroad relationship further investigated. Granger causality test results show that: the three varieties of foreign futures prices are domestic futures price of the Granger reasons; while Shanghai copper in recent years became Basemetal Granger reason, the domestic futures prices for soybeans and cotton are not foreign futures prices Granger reason. Arising from commodity international pricing power, Garbade-Silber model. The results obtained are: copper international pricing power is relatively strong, Soybean, Zheng cotton is poor, such a phenomenon to some extent from trading volume to explain. Finally, the paper uses cointegration and error correction model by selecting China's futures market were all recognized that the most mature, most specifications, functioning the best Shanghai copper futures market as represented by, build between and Basemetal market arbitrage strategy, the results more desirable.
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