| 国内外铜期货市场的价格联系 |
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| 引用本文： | 李心丹,张兵.国内外铜期货市场的价格联系[J].Frontiers of Economics in China,2008,3(3):451-461. |
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| 作者姓名： | 李心丹 张兵 |
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| 作者单位： | School of Management and Engineering,Nanjing University,Nanjing 210093,China |
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| 基金项目： | the National Social Science Fund，国家自然科学基金 |
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| 摘 要： |
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| 关 键 词： | 价格联系 铜期货 滚动样本检验 |
Price linkages between Chinese and world copper futures markets |
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| Xindan Li,Bing Zhang.Price linkages between Chinese and world copper futures markets[J].Frontiers of Economics in China,2008,3(3):451-461. |
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| Authors: | Xindan Li Bing Zhang |
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| Institution: | (1) School of Management and Engineering, Nanjing University, Nanjing, 210093, China |
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| Abstract: | The purpose of this paper is to investigate the time varying relationships between the Chinese copper futures market and its
London counterparts. Rolling correlation and rolling Granger causality test show that with the development of the Shanghai
copper futures markets, it has stronger connections with its London counterpart and it plays more and more important role
in the price discovery process. There is a long run relationship between the Shanghai futures exchanges (SHFE) and London
Metals exchanges (LME) copper futures prices. The influence of LME on SHFE is greater than that of SHFE on LME. The research
will shed light on the openness of the Chinese copper commodity markets and on the nature of cross-market information transmission.
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| Keywords: | price linkage copper futures rolling test |
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