Dynamic Research on the Price Relationship of Copper Futures and Spot in Chinese Market

After researching the existing literatures about the price relationship of copper futures and spot, the result is that most domestic researches about the price relationship of copper futures and spot are based on the statistical data, but dynamic researches on the price relationship is limited. So, the research methods provided are Vector Error Correction Model and Information Share Model, in order to serve the researches about dynamical price relationship of copper futures and spot in Chinese market from December 2011 to April 2014. Conclusions show that there is a significant long-run equilibrium relationship between the spot and futures price of copper.In trend of price shocks, there is a two-way relationship between the spot and futures price of copper. Futures prices dominate the leading position in the price relationship. Information share contribution of Futures price is 63.82%. In trend of price downward, there is only the futures price guide-way relationship between the spot and the futures price. The guiding influences enhance futures price to spot price significantly, increased to 74.94%. It means that the price discovery capabilities of futures price significantly are intensive.