A Study On The Co-movement Effect Of Metal Futures In China

With the financial marketization degree of of China's metal futures market deepening,the volatility of metal prices is more intense than ever before.To explore the reasons behind,from the global perspective,economic integration and financial liberalization contribute to make the global financial markets more frequent and influence each other,which shows obvious linkage;at home,there are two main reasons,one is caused by the rapid economic development of metal resources in China are scarce and the foreign commodities dependence increased sharply,the per capita China metal resources mineral reserves equivalent to only half the world average per capita reserves,especially metal resources needed to present the development of emerging industries is very small.In recent years,China's commodities,raw materials,from a net exporter into a net importer of raw materials by the end of 2016,China copper and aluminum external dependence has reached 32%and 46%.On the other hand,because our country does not occupy the dominant position in the commodity pricing power,but in the international market price changes.At present,China is the world's largest manufacturing country,the commodity metal as the representative of the demand which grow with each passing day,the domestic commodity market is big but not strong,the international commodity market price changes can easily lead to sharp fluctuations in domestic commodity prices,such as caused by imported inflation and other issues,is not conducive to the sustained and stable the development of economy.This article focuses on the metal market commodities market,study the price linkage effect between the Chinese metal futures market and spot market and the metal futures market using the research approach,combining theory and empirical,using frequency domain analysis,G-S model,from the market efficiency,the price linkage theory,theory of market dominant Chinese metal the commodity futures market price linkage effect makes a comprehensive and systematic empirical analysis.The results show that:(1)the existence of price linkage effect between China's metal futures market and spot market,non-ferrous metals market futures prices in the leading position in the price linkage in the process of precious metals(Au)and black metal(RB)due to play an important role in the process of international economic development,the spot price volatility tends to reflect the overall direction of the economy,so the two spot price decision-making role in the price linkage process;(2)the existence of price linkage effect between the metal futures market in China,other metals futures prices by the Au futures price effect in large extent,indicate the existence of price conduction mechanism between the futures market.Thus,Chinese as metal commodity net demand in China,at this stage in the development of the futures market is slow abroad,should attach great importance to the development of the domestic futures market,the price linkage effect between futures market and spot market and futures market,grasp its internal linkage,committed to the establishment of a sound commodity market resources,accelerate the development of the pace of commodity futures market,the domestic futures market prices play a stabilizer function in price volatility fluctuations.