The Study Of Influencing Factors Of Natural Rubber Futures Basis

China is the world’s largest consumer of natural rubber, for the limitation of production. China must import in large quantities to meet her demand. Because the price of imported natural rubber is heavily influenced by the international rubber prices, the profits of domestic corporate will fluctuate by the changes in the international natural rubber prices. In this regard, many large enterprises will hedge to screed profit, and robust business purposes. Tremendous impact due to the effect of hedging by basis of future, Therefore, the study of China’s natural rubber futures basis is very meaningful, not only conducive to those enterprises which have conducted natural rubber hedging, more conducive to the healthy development of China’s natural rubber industry.In this thesis, firstly. I identified the main factors to affect China’s natural rubber futures basis through fundamental analysis. Then. I use the exported rubber prices of Thailand, the rubber futures prices of Tokyo Commodity Exchange, the WT1crude oil futures prices of the New York Mercantile Exchange, the exchange rate of RMB to U.S. dollar, the open interest of natural rubber of SHFE in the same period, by the use of GARCH model, Granger causality test, linear regression analysis for empirical analysis. The research results show that China’s natural rubber futures basis has been affected by its early basis, the exported rubber prices of Thailand. WTI crude oil futures prices and the rubber futures prices of TOCOM. and not affected by the RMB exchange rate and open interest. The same time, China’s natural rubber futures Basis can be forecasted by model which contained of its early basis, WTI crude oil futures prices and the rubber futures price of Tokyo Commodity Exchange, which can provide data support to the better result of the hedging of natural rubber.