The Research Of The Relevance Between China’s Nonferrous Metal Futures Market And Stock Market In The Same Industry

Development of non-ferrous metals commodity futures market with the development of non-ferrous metal industry has made considerable progress in our country, which prompted China’s nonferrous metals industry and actively participated in the competitive global market in turn. Through reviewing the development of our country‘s non-ferrous metals industry as well as development of the futures market in recent years, this paper has found mature futures market could play an important role in commodity pricing after combing the factors which affect the price of non-ferrous metals in futures market and stock price in the same industry. Price fluctuations of commodity have a direct or indirect impact on the relevant performance of listed companies and stock prices. This paper will examine the relationship between the futures market and stock markets in the perspective of the mean spillover effects and volatility spillover effects.This paper studies the relationship between non-ferrous metal futures and stock market in the same industry copper, aluminum and lead as a typical representative, which choosing the SFE closing price of active contract as futures prices according to WIND and choosing three sub-sectors of copper, aluminum and lead as a research subject from one of the SW28 industry. This paper has programmed the index of listed companies on copper, aluminum and lead by referring CSI 300 Index. In order to eliminate the incomplete marketization of the equity division reform in the stock market, this paper selected the daily data as scope of the study since non-tradable shares reforming. The listed companies of copper-based took January 4, 2007 as the base period; the listed companies of aluminum-based took January 4, 2007 as the base period; the listed companies of lead-based as March 24, 2011 as the base period. This paper took adjusted stock market value of the base date as base value of three kind of listed companies. The base index is 1000 points. This paper found that there are mean spillover effects and volatility spillovers effects between non-ferrous metals futures markets and the stock market by cointegration testing and building VAR model of market volatility GARCH(1, 1), and ultimately found there is no mean spillover effects between copper futures market and copper stock market, but there is volatility spillover effects between copper futures market and copper stock market. Aluminum futures market and aluminum stock market has mutual mean spillover effects, aluminum futures market and aluminum stock market also has mutual volatility spillover effects in the short term, but the volatility spillover effects vanished in the long term. Lead futures market and lead stock market has no mutual mean spillover effects, lead stock market has one-way volatility spillover effects to the lead futures market. The impact of the stock market on the volatility of the futures market is greater than the impact of the futures market on the stock market volatility, which contrary to the traditional hypothesis of the futures market providing the fundamental analysis.