The Analysis Of The Volatility Spillover Effects Among Chinese Rebar、copper And Aluminum Futures Markets

In recent years,in order to improve the voice position in international commodity pricing in our country,our country launched a number of unique varieties of futures trading metal futures.For example,China’s launched steel futures product such as rebar futures,wire rod futures,iron ore futures which are different from foreign markets.And in active trading in these markets proves the success of these future varieties.Steel,as important as copper,aluminum,occupies an important position in the national economic development,its price volatility will affect many downstream industry management and the balance sheets of futures investors.Industry chain upstream and downstream enterprises use futures hedging and arbitrage,and the use futures speculators always strong demand of speculative trading,rebar,copper and aluminum futures has been maintained a high holdings since listing and trading volume,trading activity is located in the Shanghai futures exchange.In 2016,for example,during late October and mid November,Shanghai copper row index raise from 38110 up to 46830 or 22.88%;Shanghai aluminum continuous index rapidly shocked between 13180 points to 14850 points to complete the M shape,amplitude of 12.67%;Iron ore futures fast raise to 614.5 from 474.5 points,or 29.5%.From the great volatility,it’s obvious that metal traders in the future market and the enterprises that use hedging in future markets are facing huge risk in the futures market,one false move may lose the game.In addition,after a crash in 2015 after the government’s supervision in the capital market has been a sharp increase,the improvement of the regulatory requirements will also cause the change of market volatility spillover relationships.So this article tries to find the fall in GDP growth under the new economic environment,copper,aluminum,rebar futures market volatility spillover effect between,for investors and policy makers in the trading system and adjustment scheme provides more information for reference.And our country is in economic transition,as the rapid development of the real estate market meets bottlenecks,we have to reduce our dependence on the real estate market and looking for a new economic growth point to maintain the economic growth of China.So this article,from the perspective of the changing times,firstly discovers the metal industry downstream demand distribution changes caused by economic transition,led to the changes in the experience of volatility spillover,rebar futures relies on the real estate industry dependence too much,but the condition of fast development of the real estate market will never be back,in parallel with copper and aluminum futures;and according to the distribution of the downstream industry broadcast and overlaps judgment under the new economic environment,iron ore futures will take the place of rebar futures to be in parallel with copper and aluminum futures,as downstream industries like transportation,automobile,military and other industries are steel,copper,aluminum overlaps of each other,but these industries have not formed the demand for rebar.So this article will seek stable volatility spillover effect between new futures markets,so investors in the trading system and policymakers making adjustment plans can have more valuable information.Combing research about the problem,in this paper,the continuation of previous scholars multi-purpose BEKK GARCH model to estimate.Because the iron ore futures launched on April 8,2009,so the paper selects the closing price of the 2013 day to June 30,2017 to be the study object,the results show that three futures market do have volatility spillover effect between copper futures as information source of the iron ore future market and aluminum futures market,the influence of iron ore futures for aluminum futures will reverse the effects more strongly.With the metal international pricing and there is a close relationship between the distribution of the domestic demand for metal overlaps.Finally according to the result of empirical test related investment advice and policy suggestions for the reference of futures market investors and regulators.