Since the late 1960s, many foreign scholars have conducted extensive research on the price discovery function of the futures market. In this process, with the development of econometrics, new testing methods are constantly produced and applied.
Garbade and Silber first tested the spot market price guided by futures price, so they called it GS model. Manerly, Elam, Shen and others pointed out that if the price series is non-stationary, it is invalid to use the traditional method to carry out unbiased test. The concept of cointegration proposed by Ende basically solves the non-stationary problem in price series, but the deficiency of this method lies in the lack of strict inference of parameters, which is the core of unbiased testing of futures prices. Different from Ende and other methods, Johansen derived a statistical inference tool for cointegration test and parameter test. Therefore, Johansen method is more suitable for testing the price discovery function of futures market and its market efficiency. Lake. S and others used the concept of cointegration earlier to test the relationship between futures prices and spot prices.
The empirical research on copper futures price and spot price shows that:
1. According to the unit root test, copper futures price and spot price are non-stationary series, but they can be stable after first-order difference, that is, copper futures price and spot price are first-order stable.
2. There is a long-term equilibrium relationship between copper futures price and spot price. Even if there is a short-term price deviation between the two, the equilibrium can be restored through the internal adjustment mechanism, which shows that Shanghai copper futures and spot market in China are more effective.
3. According to Granger causality test, there is a Granger bidirectional guiding relationship between copper futures price and spot price.
4. Through the analysis of the results of pulse correspondence function, Shanghai futures and spot markets can respond quickly to new information, and the market is more effective.
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This is copied from a paper.