Price discovery and volatility spillovers in China's metal spot-futures markets

The efficiency in China' futures market is always the concern of the supervisory authorities,hedgers and investors.Therefore,this article offers an empirical investigation on the price discovery and the volatility spillovers in China' metal spot-futures markets with the Johansen,information shares and volatility spillover models.The results show that there are equilibria and bidirectional lead relations in metal spot-futures prices.Both the spot market and the futures market play important price discovery roles and the futures market is more dominant than the spot market.And the price discovery ability of copper spot market is stronger than that of aluminium spot market.Moreover,there are bidirectional volatility spillover relations in spot-futures markets but the volatility spillovers in the futures market is greater to the spot market than vice versa.In addition,the volatility spillovers between the spot market and the futures market become stronger and the futures market becomes more efficient with the development of China's metal futures market.