关键词: 中国金属期货价格指数, 价格发现能力, 信息传递效应, 贡献度

Abstract: Among the researches of price discovery ability of Chinese metal futures market, there is only about the single variety research, but lacks of the research about overall market. Using the data of Chinese Metal Futures Price Index(CMFPI), which is compiled by ourselves , and the data of Shanghai Metals Market Index (SMMI) from Jan 2,2003 to Dec 31,2010, we construct the information transmission effect model and the G-S model in order to research the price discovery ability of Chinese metal futures market. The empirical results show that there are the significant bidirectional price lead relationships between the metal futures market and spot market, and lack of volatility spillovers effect and constant asymmetric effect between them; after the period of rectification and development，the price lead ability of the metal futures market enhances gradually and the metal futures market has had the ability of price discovery now. Finally, we propose our suggestions.

Key words: Chinese Metal Futures Price Index, Price Discovery Ability, Information Transmission Effect, Degree of Contribution