An Empirical Study on the Cointegration Relationships between Futures Price and Spot Price of Copper and Mung Bean

The relationship between futures price and spot price is always the focus paid close attention to by the people in economic circles.Whether there is cointegration relationship between a pair of economic variables is the key to give analysis and forecast correctly.The dissertation gives cointegration derivation,explanations and makes empirical analysis on the relationship between conditioned futures price and spot price of copper in Chongqing and mung bean in Zhenzhou.It is found that each has a cointegration relationship and got an Error Correction Models ECM,according to the ECM,the methods of analysis and forecasting are presented.The dissertation compares the results of cointegration about coper and mung bean,discusses the problems existing in both futures and spot market in China and some of our opinions are presented.