| The developed degree of a national futures market is closely linked with its financial prosperity. A developed futures market plays two basic functions: price discovery and avoid risk. The price discovery function can provide more accurate price signals, it is the base of the development of futures market and is the premise of hedging risks futures market. And the price discovery function of futures market efficiency is running efficiency measure law, was one important symbol of the mature futures market consummation. China's futures market starting evening, so price discovery function of futures market plays more deserving of attention.The paper mainly research on the deployment of price discovery function in domestic commodity futures market, combing with empirical analysis on the basis of theory. This paper aims to discover the current status of our futures market in the view of quantity, in order to provide empirical support for the price discovery function in our futures market. This will facilitate the related decision makers make full use of the price signal of futures, and then improve the efficiency of resource allocation. Besides, it helps lay a solid foundation to occupy a place in international futures pricing for the future in China.This paper selected the contracts copper in Shanghai Futures Exchange and contracts sugar in Zhengzhou Commodity Exchange as empirical research objects respectively represent industrial and agricultural products. It researched on operation characteristics of China's commodity futures market through yield sequence analysis and on whether there is a long-term equilibrium relationship between the cash price in China's cash market and the futures price and its efficiency of price discovery function in China's futures market through correlation analysis. Therefore, the empirical part in the paper comprehensively considered the advantages and disadvantages of various analysis methods and data availability at beginning. Then it made basic judge on the relationship between the future price and cash price using the correlation coefficients. And analyze the futures price fluctuations of Shanghai copper and Zhengzhou sugar with GARCH (1, 1) and E - GARCH (1, 1). This paper then correspondingly analyzed futures and spot price using methods such as ADF unit root test, constructing VAR model Johansen cointegration test, error correction model, granger causality analysis and variance decomposition method.Through yield sequence empirical analysis, it is found that the response of Shanghai copper on information is lasting while of Zhengzhou sugar is short; there is speculative phenomenon in Shanghai copper and Zhengzhou sugar, and it is more apparent in Zhengzhou sugar. Through correlation analysis on the cash price and the futures price, it is found that there is a long-term equilibrium relationship between the future and spot market prices of Shanghai copper and Zhengzhou sugar, and that the relationship is relatively stable. An empirical analysis indicates that the linkage of future and spot price in Shanghai copper is quite obvious, while in Zhengzhou sugar is not obvious. Besides, it discover that the futures price of sugar can guide spot price, but the spot price has no guidance to futures price, and China's sugar futures price is preliminary already play a prediction function for the spot price, but the ability to predict and the stage of linkage relationship are obvious difference from Shanghai copper. Shanghai copper and Zhengzhou sugar play overwhelmingly dominant role in price discovery function of futures market, but the influence in Zhengzhou sugar is weaker than it in Shanghai copper. |
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