| The basic function of futures market is price discovery and hedge. The price discovery is in the core position of the futures market and also is the base for the existence and development of the futures market. With the rapid development of Chinese economy, the futures market has been facing a good developing opportunity. Through more than ten years academic research and pilot practice on Chinese futures market, the price discovery function has already be presented. However, the futures market in China still belongs to a newly arisen market, its efficiency and function still needs to be further understood. In addition, the exertive condition of the price discovery is still far away from the developed countries, and the price of some commodities is still unfair for China. Therefore, the research and practice on the price discovery function of the commodity futures is not only theoretically but practically a significant issue in China.In this study, the researches of the commodity price discovery function of futures market was briefly reviewed, the formation mechanism of the price discovery function was carefully analyzed, and the model and methods for pilot research on the price discovery function were systematically discussed. Through the application of correlation analysis, Granger test, EG two-step test, Johansen co-integration test, and impulse response functions and variance decomposition method, the futures price discovery function on gold, silver, oil, aluminum, and copper were investigated.The results showed that the price discovery function of the Chinese futures market had already been obvious of exertive, but because of the influence of various factors from different commodities, the price discovery function exertive condition was significantly dissimilar. The futures led spots price in the short term, but in long run, there was no co-integration relationship between the futures price and spots price on gold. Generally, in the short term, the futures led spots price, and in long run, there was co-integration relationship between the futures price and spots price on silver, oil, aluminum, and copper.Finally, based on the different characteristics of each commodity, the strategies of effective use of the futures market in China were suggested and proposed. |
