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Price Linkages Analysis of Shanghai Copper Futures Market and International Copper Futures Markets

Author: WangHong
Tutor: DaiXiaoFeng
School: Hunan University
Course: Finance
Keywords: price linkages long-term equilibrium short-term interaction Cointegration relationship vector error correction model
CLC: F724.5
Type: Master's thesis
Year: 2010
Downloads: 65
Quote: 0
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Abstract


The price Linkages of international copper futures market are mainly reflected by the long-term equilibrium relationship and short-term interactive relationship between price. This article examines the price linkages among SHFE、LME and NYMEX by using cointegration test,vector error correction model,impulse responses function and variance decomposition analysis methods,etc.The results show that there is some cointegration relationship among the three market’s prices in the long term.By 2006,London Metal Market has a one-way guide relationship with the two others.and since 2006,there is a two-way guading relationship between any two markets. However,LME is still dominanting the copper price in the international future markets.In the short term,the three copper future markets interacted and depended on each other,So the price information can transmit from one to the other market and take an impact on the other market price.Price shock coming from LME is the largest while coming from SHFE is relatively weaker but ever-increasing.Since 2006 the influence of SHFE is overtakeing the NYMEX and becoming the second largest role in the international pricing of copper.

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CLC: > Economic > Trade and Economic > China's domestic trade and economic > Circulation of commodities > Futures Trading
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