| SHFE与LME期铜价格因果关系分析 |
| |
| 引用本文： | 田新民,沈小刚. SHFE与LME期铜价格因果关系分析[J]. 首都经济贸易大学学报, 2005, 7(3): 34-38 |
| |
| 作者姓名： | 田新民 沈小刚 |
| |
| 作者单位： | 首都经济贸易大学,北京,100026 |
| |
| 摘 要： | 本文以沪铜与伦铜主力合约3月合约为代表,利用协整方法及因果关系分析对历史数据进行了实证。结果表明:作为全球最大的金属期货交易所,长期以来伦敦金属所金属铜的期货价格对上海期货交易所的期铜价格都具有主导作用。这两年SHFE金属铜的期货价格对国际市场铜价的影响力在逐步增强。
|
| 关 键 词： | 期货价格 因果关系 协整 |
| 文章编号： | 1008-2700(2005)03-0034-05 |
| 修稿时间： | 2005-01-28 |
An Analysis on Causal Relations of Cu in Futures Markets LME and SHFE |
| |
| TIAN Xin-min,SHEN Xiao-gang. An Analysis on Causal Relations of Cu in Futures Markets LME and SHFE[J]. Journal of Capital University of Economics and Business, 2005, 7(3): 34-38 |
| |
| Authors: | TIAN Xin-min SHEN Xiao-gang |
| |
| Abstract: | This paper examines the causal relations between Cu for 3 months in LME and SHFE by cointegration means and causal relation analysis. The results showes that as the biggest metal futures exchange in the world, future price of Cu in LME is the Granger Causal of that of Cu in SHME for a long time. However, the influence of Cu in SHFE on the international market has been building up in recent years. |
| |
| Keywords: | future price causal relations cointegration |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《首都经济贸易大学学报》浏览原始摘要信息 |
|
点击此处可从《首都经济贸易大学学报》下载全文 |
