铜现货价格与国内外期货价格的影响路径分析

铜是现在工业和经济发展中不可或缺的基础性原材料,同时,沪铜的影响力在提升。本文主要研究关于沪铜期价与LME铜价以及长江现价之间的路径关系,同时加入反映经济波动周期的因素,利用SEM建立路径分析模型,验证因素之间的因果结构关系,同时计算因素之间的直接和间接效应,得到伦铜→沪铜→现铜的影响路径,同时发现沪铜对于伦铜也有重要影响,以及美元指数、美国工业生产指数、中国PMI指数和PPI指数对国内外期现货产生影响的路径。     

期糖迎来“跨年行情”

伦铜连续收阳，在注销仓单大增的支持下伦铜库存下降，整体库存水平接近2010年12月10日的阶段性低点。针对宏观经济增速放缓后国内货币政策放宽预期，以及节后来自国内消费和贸易商的补库期望，成为近来支撑铜价持续上涨在心理层面的因素。沪铜周四收出阳线后已逼近去年10月底高点，而节后国内下游以及贸易商能否出现如预期的补库行为将...     

棉花跳空低开 短期仍然观望

沪铜：前期空头轻仓谨慎持有 上周四隔夜盘伦铜受美联储推出刺激未能达到市场预期的利空影响大幅下挫。回顾国内,上周沪铜1210跳空低开于54350元／吨,早盘沪铜横盘震荡,1O点半国内公布汇丰6月PMI预览值,6月48．1较5月48．4有所下滑,但铜市未受其影响,午间报收54400元／吨,日跌幅1．36％。上周四沪铜持仓量...     

2008年12月上海期货交易所市场综述

铜：12月国际铜市继续震荡下跌，但跌势有所减缓。全球金属消费未见任何起色，伦敦铜库存从月初的291650吨上涨至月末的337350吨，幅度为45700吨。伦铜价格持续受压于市场的悲观预期．伦敦三月期铜月末收于2910美元，较上期末收盘价3620美元下跌了710美元．下跌幅度为19．6％。12月沪铜与伦铜保持一致的弱势。     

2006年8月上海期货交易所市场综述

8月，国际期铜市场震荡盘整，波动区间收窄，智利铜矿罢工对供应造成威胁以及创纪录的镍价为铜市带来支撑，但美国经济增长放缓迹象以及欧洲地区升息等因素令铜市压力重重。上海铜市总体跟随伦铜震荡，市场交投谨慎。主力0610合约收盘价67280元，较上月跌430元；其他主要合约涨跌幅在-1980～2510元之间。     

投资广角

基本金属期货本周伦铜受美国不良经济数据影响宽幅振荡。周一伦铜收于7760美元,下跌了100美元。周二伦铜三个月期铜小幅上涨35美元,终盘以7795美元报收。周三伦铜收于7677.5美元,跌幅102.5美元。周四伦铜三个月期铜小幅上涨80美元,终盘以7765美元报收,     

基于VECM-GARCH模型的沪铜指数与上证指数的联动分析

在日常期货投资过程中通过大量的观察发现,上证指数的走势与沪铜指数的走势比较一致。本文借助计量经济学工具对二者分别进行了平稳性检验、协整关系检验并运用VECM模型和二元GARCH模型对二者是否存在联动关系以及存在怎样的联动关系进行了实证分析,结果表明,上证指数和沪铜指数的波动在短期内的关系并不明显,但在长期二者之间有着很强的相关性,而且这种关联性随着时间的推移呈现出越来越强的态势。     

我国铜业上市公司股票价格与铜期货价格关系的实证研究

近年来,资源类股票价格和商品期货价格之间表现出越来越强的联动性,本文从沪铜期货价格和铜业上市公司股票价格的关系这一角度,运用计量经济学方法进行实证检验,以期明确资源类股票价格和期货价格的内在关系。实证结果表明:我国铜期货市场与股票市场存在着长期均衡关系,铜现货、期货价格都是股票价格的影响因素,另外,上证指数作为系统性风险也在一定程度上影响了铜业上市公司的股价。     

投资广角

基本金属期货本周伦铜受不利消息影响大幅走低。周一伦铜8138美元,涨13元。周二伦铜收8035美元,下跌了115美元。周三伦铜跌115美元,至8035美元。周四伦铜收7856美元,跌100美元。消息面上:由于LME库存大幅增加与美国不良经济数据,特别是     

沪铜后市以看空为主

沪铜：空声依旧 上周四晚间，美联储、欧洲央行和英国央行三大央行公布议息决议，三大行集体按兵不动，均宣布维持现有利率不变，再度令市场失望，LME金属走低，伦铜更是击穿前期低点，形成破位下行态势。面对外盘的破位，上周五沪铜市场恐慌一片，再加上当天是周末，早盘惶恐低开在前期低点53650一线，其后虽然略有反弹，但大幅补跌趋势...     

Sticky Prices and Indeterminacy

The aim of this paper is to analyze the link between price rigidity and indeterminacy. This is done within a cash-in-advance economy that is known to exhibit indeterminacy at high degrees of relative risk aversion. My findings show that price stickiness reduces the scope of these sunspot equilibria: to be compatible with indeterminacy, sluggish price adjustment requires degrees of relative risk aversion that prove too high to square with data.     

Lazy Prices

Using the complete history of regular quarterly and annual filings by U.S. corporations, we show that changes to the language and construction of financial reports have strong implications for firms’ future returns and operations. A portfolio that shorts “changers” and buys “nonchangers” earns up to 188 basis points per month in alpha (over 22% per year) in the future. Moreover, changes to 10-Ks predict future earnings, profitability, future news announcements, and even future firm-level bankruptcies. Unlike typical underreaction patterns, we find no announcement effect, suggesting that investors are inattentive to these simple changes across the universe of public firms.     

Option Prices as Predictors of Equilibrium Stock Prices

The Black-Scholes option pricing model, modified for dividend payments, is used to calculate jointly implied stock prices and implied standard deviations. A comparison of the implied stock prices with observed stock prices reveals that the implied prices contain information regarding equilibrium stock prices that is not fully reflected in observed stock prices. The implications of this finding are discussed.     

Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices

This paper examines the empirical performance of jump diffusion models of stock price dynamics from joint options and stock markets data. The paper introduces a model with discontinuous correlated jumps in stock prices and stock price volatility, and with state-dependent arrival intensity. We discuss how to perform likelihood-based inference based upon joint options/returns data and present estimates of risk premiums for jump and volatility risks. The paper finds that while complex jump specifications add little explanatory power in fitting options data, these models fare better in fitting options and returns data simultaneously.     

Asset Prices and Exchange Rates

We study the implications of introducing demand shocks and tradein goods into an otherwise standard international asset pricingmodel. Trade in goods gives rise to an additional channel ofinternational propagation—through the terms of trade—absentin traditional single-good models. The inclusion of demand shockshelps overturn many unrealistic implications of existing internationalfinance models in which productivity shocks are the sole sourceof uncertainty. Our model generates a rich set of implicationson how stock, bond, and foreign exchange markets co-move. Wesolve the model in closed-form, which yields a system of equationsthat can be readily estimated empirically. Our estimation validatesthe main predictions of the theory.