Research On The Forecasting Ability Of Commodity Futures Price

Futures are important financial derivative product developed from spot trading.It is a standardized tradable contract with cotton,wheat,oil and other bulk commodities or stocks,bonds,interest rates and other financial instruments as the subject matter.In 2021,the trading volume of China’s futures market increased significantly for three consecutive years,hitting a record high.By the end of 2021,the number of listed varieties in China’s futures market had reached 70,including 64 commodity futures and 6 Financial Futures.China is a major country in the supply,import and export of primary products in the world.For a long time,commodity prices have played an important role in explaining economic fluctuations.The trend and fluctuation of the market price of domestic primary products are not only closely related to the production and life of the people,but also closely related to the whole domestic economy and even the world economy.Therefore,it is necessary to predict the changes in the prices of agricultural products,energy,chemicals,metals and other bulk commodities.For market traders,effective forecasting can make them avoid risks to the greatest extent and maximize their interests.It also has important reference value for national macro policy-making.Especially in recent years,under the influence of the COVID-19,the demand of various subjects to use futures tools for risk management has become increasingly prominent.With the increase of futures trading,people pay more and more attention to the ability of futures prices to predict spot prices.This paper makes an in-depth and detailed study on China’s bulk commodity futures prices,discusses whether the futures prices can predict the future trend of spot prices and the accuracy of the forecast,and seeks countermeasures to improve the effectiveness of the operation of the futures market,so as to improve the forecasting ability of futures prices.In order to achieve this research goal,this paper first establishes the benchmark regression equation based on the relevant theories of the futures market,selects 10 futures varieties such as soybean meal,corn,natural rubber and copper,covering the three major markets of agricultural products,energy and chemical industry and metals,makes an empirical analysis,and further examines the forecasting ability of commodity futures prices under the influence of inflation factors,Then the source of the difference in forecasting ability is analyzed by studying the time variability of fluctuation and coefficient.This study shows that there are significant differences in the forecasting ability of different categories of commodity futures.Agricultural futures perform best in both unbiasedness and accuracy,followed by energy and chemical industry.Most metals fail to pass the unbiasedness test and can not accurately predict the future changes in spot prices.Finally,some suggestions are put forward for the improvement of futures price forecasting ability and the healthy development of futures market in China.