An Empirical Study On Price Behavior Of Chinese Cotton Futures

China is an important cotton-producing country in the world. Cotton futures in Zhengzhou Commodity Exchange Market have been worked for four years. It is very important to recognize and control the risk of cotton futures market.However, in our country, cotton futures prices is lack of research. At the same time, cotton futures first appeared in 1870 in New York.It's the largest cotton futures market in the world. Therefore it is important to compare the price behavior characteristics of cotton futures between Chinese market and American market.This paper empirically researches the relationship between cotton prices in Zhengzhou futures market and Zhengzhou cash market with Co-integration Test and Granger Causality Test. The result shows that there is a long—term equilibrium relationship between cotton prices in futures market and cash market, and there is a causal relationship between cotton prices in futures market and cash market, and futures market is in a dominant position.At the same time,the result shows that cotton cash prices is a little impact on the cotton futures prices.And there is a causal relationship between cotton futures market in Chinese and American.The results show that New York cotton futures prices impact on China cotton futures prices.China cotton futures prices have a little impact on the New York cotton futures prices.But China cotton futures prices has began to infect the international cotton futures prices.The result shows that ARMA-GARCH(1,1) model is the most suitable one for explaining the profit fluctuation of cotton futures market in China and US. Using the ARMA-GARCH(1,1)model and ARMA-EGARCH(1,1) model, we compare the price volatility between cotton futures market in China and US.The results show that volatility clustering has existed over the whole period in Zhengzhou cotton futures market and New York cotton futures market. There is no leverage effect in Zhengzhou cotton futures exchange during the whole period.The results shows that the Chinese cotton futures market isn't reach the week efficient. So it should to recognize the necessity and urgency of the further development of China cotton futures market. And should to improve the market environment. At the same time ,to enhance co-operation between the international cotton futures markets. It is the basic measures of developing cotton futures market in China, to steup foundation of cotton futures market and strengthen the education of investors.