Research on the Price Discovery Function of Ferrous Metal Futures in China——Based on VECM and State Space Perspective
Compared to traditional commodity futures such as agricultural products and non-ferrous metals,ferrous metal futures have been listed relatively late and have received less attention from the academic community.This article integrates re-bar,wire rod,hot-rolled coil,stainless steel,iron ore,coking coal,coke,ferrosilicon,and manganese silicon futures into the overall research framework.The holding cost theory,VECM and state space vectors are comprehensively used to empirically analyze the price discovery function of the ferrous metal futures market from short-term to long-term and from static to dy-namic perspectives through pulse response,variance decomposition,information share model,and Kalman filtering algorithm.The research results indicate that,whether from the perspective of the response of futures prices to short-term information shocks or from the perspective of long-term equilibrium,the futures markets for rebar,hot-rolled coil,iron ore,ferrosilicon,and manganese silicon have strong price discovery capabilities;However,the futures markets for wire rods,coking coal,coke,and stainless steel currently do not have price discovery capabilities.This article provides a comprehensive and multi-dimen-sional analysis of the price discovery function of the ferrous metal futures market,which has important theoretical reference sig-nificance for exploring the operational efficiency of the ferrous metal futures market.
ferrous metal futuresprice discoveryVECM modelIS modelstate-space model
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