An Empirical Analysis Of Price Activity In China Futures Market

Nowadays, futures market has been a very important part of national economics allaround the world, and its stabiles effect becomes more and more obvious. Along withthe construction of market economic in China, merchandise futures which developedin 90s becomes more and more important in stabilizing the price volatility, adjustingthe demand and supply of merchandise on hand. And many economists do research invaluation and risk aversion functions of futures market. This paper analyzes wellfunctioned Shanghai copper futures, started with valuation mechanism, and discussesthe main factors that affect the process of valuation.First of all, we analyze the sketch of futures market in China and the distributions ofyields. Based on this, we apply ADF and PP methods to examine the market validity,and explicate the follows.Second, this paper apply high frequency data to demonstrate the intraday functions ofyields volumes and frequencies of shanghai copper futures. Then, we build regressionmodel, demonstrate the factors affecting the volatility of yields in shanghai copperfutures market. So we could post the characters of futures market in China, anddevelop the research in China.Finally, based on vector autoregressive model (VAR), this paper analyzes the dynamicrelationship of volatility, volume and market depth in copper futures, and realized theinformation transferring relationship, direction and speed of variables. Thisexamination considers both intraday effects and effects among days. Based on thisresearch, we could acknowledge intraday price adjusting procedure better, and alsolearning the market deeply.