Asymmetric price discovery in Chinese futures market

With the database of Copper contracts in Chinese futures market, the function of price discovery is examined, using VECM model, cointegration test, error correction model, variance decomposition and impulse responses function methods, etc. The results suggest that the spot and futures prices are cointegrated, and futures market plays more important role in price discovery. We also found that asymmetric market effectiveness exists between up and down market. That is, in bear market, spot price has weaker response to information, and future price is not the Granger Causal of spot price.