Research on cointegration in BIFFEX futures market and pricing model

This paper mainly investigates the cointegration relationship and the causal relationship between futures and spot prices in BIFFEX futures market applying Johansen cointegration and Granger Causality Tests technique. The results show that BIFFEX Futures Market is a risk-neutral and efficient, in short term the BIFFEX futures price is the unbiased estimation on spot price, and the spot price is the causal to the future price. We obtain the short term BIFFEX Futures Pricing Formula based on Model, and we find that the currently settlement price has significant explanatory power on the next futures price and there is a leverage effect on BIFFEX Futures Market.