Fund Positions And The International Copper Futures Price Relationship Of Empirical Research

China’s economic develops well and quickly, and it’s consumer demand for copper is increasing. In2010, China consumed38.6%of the total world’s copper consumption. The volatility of copper prices poses great pressure on Chinese industrial production. So it is necessary to explore the factors to the changes of copper prices, and to guide our enterprises to avoid market risk. Chinese futures market is undergoing the change of control to development. In recent years, there has been established some investment funds in China, so this study can provide reference for China’s development of futures and reveal the relations of future invest funds and copper price.In this study, the data is select from the positions reports which published by the U.S. Commodity Traders and Exchange Commission. The correlation analysis and Granger causality test draw the following qualitative conclusions:(1) the total positions of funds closely related to the international copper price, and the fund arbitrage positions accounted for the proportion of the total fund positions remained relatively stable, but the fund speculative positions accounted for the proportion of the total fund positions played relatively large fluctuation.(2) there is a one-way granger causality from the fund speculative positions to the price fluctuations of future copper, but there is no granger causality between the fund arbitrage positions and the price volatility of future copper.(3) the fund’s trade strategy is to follow the market trends, there is a one-way granger causality from the return of future copper’s price,but there is no causal relationship between fund arbitrage positions and the price of future copper. We also give some reasons for the international future copper price fluctuations and it’s rising trend:the international financial crisis gives change on the global copper market’s supply and demand, the dollar index goes lowly and volatility, and the scarcity of copper resources.The quantitative study based on GARCH family model reveals that:(1) the fund holding positions are not the reason for the fluctuations of future copper price;(2) the fund speculative position can reduce the fluctuations of future copper price, and in which the expected part plays a more important role in the fluctuations of future copper price than the no expected part,(3)the fund arbitrage positions play no impact on the fluctuations of future copper price,(4)the volatility of future copper price continued strong, while the fund’s holding positions do not affect the continuity;(5) there is a asymmetric effect on the volatility of future copper price, and the fund’s speculative positions can slow this asymmetric effect. In the end, we give some policy recommendations for the construction of china’s futures market according to the study concludes.