| The main function of futures markets include:price discovery and risk transfer, in which price discovery reflects the core function of futures market. The purpose of this research is in order to examine price discovery function in sugar futures of ZCE, to measure the functioning of the futures market.This paper describes the main factors affect the price of sugar, and then briefed the international and domestic sugar spot market, mainly from the consumption, demand and stocks of sugar, changes in the spot market price; then focus on the NYBOT and LIFFE, the international overview sugar futures market, a comparative analysis of two features of exchange of sugar futures contracts; Finally, describes the entire development of the sugar futures of ZCE.In this paper, with the continuous white sugar futures closing price and the spot price of sugar, the histograms, line charts, scatter charts and other descriptive statistics; unit root test, co-integration test, Granger causality test, VAR model and the ECM models empirical research methods is used. The functioning of quantitative analysis is carried out on the sugar futures market efficiency and to make objective and fair evaluation.When selecting data, the main contract of the current selection methods are compared. This will provide the greatest possible representation of the price information, and also avoids the data jump caused by contract conversion, to reduce the fluctuations in the data processing.There is a long run equivalent between futures price series and spot price series. The futures price data and spot price data are both non-stationary and1lag integration time series, and there is a vector error correction mechanism between their difference data. A two-way causal relationship exists between futures price series and spot price series, but the futures price is in a dominant position. |
