上海期货交易所金属铜国际定价能力研究

近年来,上海期货交易所作为金属铜的三大国际期货交易市场之一,市场机制日渐成熟,价格发现功能日益增强,但其国际定价能力到底有多大,与伦敦金属交易所和纽约商业交易所的联动关系如何,逐渐受到国际市场关注。本文借助计量分析方法,在相关系数、协整关系、Granger成因、方差分解等方面研究三大交易所铜期货价格之间的相互联系。实证结果表明,伦敦金属期货交易所铜期货的国际定价能力居第一位,上海期货交易所铜期货的国际定价能力在2005年我国汇率制度改革后超越纽约商业交易所居第二位,上海市场期铜价格对其他两大期货市场存在显著的影响力。

The Pricing Capacity of Shanghai Futures Exchange on Futures Copper

As one of the biggest three futures copper exchanges in the world,Shanghai Futures Exchange(SFE) has been more and more importent recently.The article means to discover the actual pricing capacity of SFE on futures copper,and also the linkage relation between SFE and London Metal Exchange(LME) or New York Mercantile Exchange(NYMEX).Adopting econometric methods,the article analyzes the correlations of futures copper prices in the three biggest futures exchanges.Our research finds out that LME is most capable of pricing,and SFE's pricting capacity outpaced NYMEX to the second after foreign exchange reform in 2005.The futures copper price in Shanghai futures market would lead the other big two markets.