Re-examination the Price Discovery Function in China's Commodity Futures Market——Empirical research based on spectral Granger causality model
It is important for futures market participants to grasp the periodic differences in the relationship between fu-tures prices and spot prices when they conduct arbitrage trading and risk hedging.In this paper,we analyze the price discovery function of PT A,Rebar and Iron ore futures from the perspective of frequency domain with using spectral Granger causality test method,which overcoming the limitation of the traditional Granger causality test that can only be analyzed from the time do-main dimension.The results indicate that the choice of period significantly influences the test outcomes of futures'price dis-covery function.PTA futures shows price discovery function across any length of period,and the shorter the period,the more significant the price discovery function becomes.Rebar futures exhibits price discovery function in some periods,and Iron ore futures also shows price discovery function in some periods in recent years.Based on the research findings,we propose that it is essential to strengthen the periodicity study of price discovery in commodity futures market,and improve the market structure to enhance price discovery function,and also should fully consider the role of periodicity in constructing trading strategies.
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