A Study Of The Correlation Between SHFE And TOCOM Rubber Futures Price

Natural rubber is one of the important strategic and industrial materials. Following the continual economic development in last few years,China has become the biggest consumer and importer in the world.Nowadays,the natural rubber futures are being traded mainly at SHFE,TOCOM and SICOM.This article would focus on the price correlation of the rubber futures of SHFE and TOCOM,the top two trading volumes.In year 2005,the rubber futures trading volume of SHFE is 1.3 times of TOCOM~①,then 2.7 in year 2006~②.This figure became 6 in year 2007~③.With the escalation of the gap on trading volume,did SHFE rubber futures has more causality on TOCOM rubber futures?To reveal the price correlation between the rubber futures of SHFE and TOCOM, we collected the price figures from year 2006 to year 2007 and carried out empirical analysis of Granger Causality Test.In the test,it's proved the causality factor of SHFE rubber futures on TOCOM were increasing,while the factor of TOCOM on SHFE decreasing.Base on the analysis result,we suggest China government and SHFE to take measures to further develop the rubber futures of SHFE so as to play a more important role in the pricing of the natural rubber.