The Research Based on the Dynamic Relationship among Chinese Steel Spot, Forward and Futures Price
|School||Beijing Technology and Business University|
|Keywords||steel spot market forward market futures market relationship|
With steel futures listed, in Chinese steel market, there are spot market, forwardmarket and futures market at the same time. Most of the scholarships are focusing on therelationship between futures market and spot market with price discovery and riskavoiding function and have obtained abundant accomplishment. However, it lies still inthe basic stage to research the real relationship among three markets especially beforeand after the time the steel futures listed, the relationship between forward price andfutures price as to the effect on the spot price, how to utilize the function of forwardmarket and futures market and from a more extensive view how to build a completedmarket system including these three markets to improve the adjustment and invigorationof the whole steel industry.This article discusses the validation of Chinese steel forward and futures markets byempirical study of the dynamic relationships between spot, forward and futures price,referring the real development of Chinese steel market. As a result, it comes up withreasonable suggestions in the perfection of Chinese steel futures and forward markets,steel investors’ rational investment and how to acquire the adjustment and invigoration ofthe whole steel industry.This article chooses them as the sample, the forward prices date of reinforced steelsin the active months reported by bulk shanghai steel electronic trading center from2007.1.6-2011.3.1, the prices in the Shanghai spot market and the futures prices date ofreinforced steels in the active months reported by Shanghai Futures Exchange from2009.3.30-2011.3.1. The empirical studies the dynamic relationship between steel spot,future and forward prices by five quantitative measurements including ADF andcointegration test, Granger causality test, information sharing model, variancedecomposition model and impulse response functions.The conclusion demonstrates that Chinese futures market was initially established,of which the validation has not been showed up. As to the pilot to spot prices, the futuresprice has not taken the place of forward price, and they are forming a competition andcomplementary relationship simultaneously. The price among three markets displayedsignificantly to be in harmony with each other. The forward price and futures price offera better and more effective forward price signal together; the futures price and forwardprice are in a strong relation of cointegration and dynamic equilibrium. They both lead the short-term spot price in a single way primarily but to integrate them can reveal thestronger influence and explanatory power to the spot price.