The Study Of Commodity Pricing Discovery System Based On Futures And Spot Markets Are Collaboratively

Based on the theoretical analysis of how the futures market and the spot marketto discovery collaboratively the price of commodity,16982set of data from spotmarket and futures market, and Johansen co-integration test, Granger Causality Test,Impulse Response Function, G-S Models and other methods of empirical analysis hadbeen used to make the conclusion. The following conclusions were discovered: Firstly,spot market and futures market were collaborative in the process of commodities’pricing discovery, and the spot market has played the fundamental role. Secondly, forthe price of various commodities in spot market and in futures market, aluminum,rubber, soybeans, corn, soybean, cotton existence a co-integration equation, copper,zinc, lead, plastic, PTA, rebar existence at least two co-integration equations. Guiderelations is difference with the different selection of lag interval, the performances ofwhich are the futures price lead the spot price, the spot prices lead the futures price,the spot price and the futures price were leading each other, and the spot price and thefutures price were not lead at all. Thirdly, both futures market and spot market canmake a good response to new information. Compared to the futures market, spotmarket is better in resisting price shocks. Compared to the spot market, futures marketis better in adjusting price shocks. Fourthly, the impact factor of future market andspot market of all samples commodities in the pricing process had been found to makeempirical analysis. Fifthly, a model had been built to quantitative the intrinsic value ofcommodities both in spot market and futures market.