This paper makes an empirical study on the main varieties of metal and agricultural products in China, and analyzes the whole futures market comprehensively and systematically. Different from the traditional literature, we distinguish the price discovery and hedging function of the market according to the principle of economics. Granger causality analysis is used to examine the market price discovery function and the error correction model and co-integration technology is used to deduce market hedging performance. In order to overcome the shortcomings of traditional unstructured equations, the structural VAR model, structural impulse response and variance decomposition technique are used to quantitatively describe the futures market relationship at home and abroad. The research shows that the real futures market in China has played the basic function, but the agricultural futures market still has a lot of shortcomings, the international futures market has a one-way impact on the domestic futures market price, the domestic futures market efficiency is lower than the international futures market.

Download