DocumentCode
3522343
Title
An Empirical Analysis on the Casual Relationship of the Futures Copper Price between SHFE and LME
Author
Zhang Zhi-bo ; Hua, Su Tong
Author_Institution
Dept. of Acad., China Executive Leadership Acad. Pudong
fYear
2006
fDate
5-7 Oct. 2006
Firstpage
2289
Lastpage
2292
Abstract
The causal relationship of 3-month copper futures price in Shanghai Futures Exchange (SHFE) and London Metal Exchange (LME) is examined in this paper by cointegration test and Granger causality test. The results show that as the biggest metal futures exchange in the world, future price of copper in LME is the Granger causality of that of copper in SHFE for a long time. However, there is dual causality of copper futures price between SHFE and LME in recent years. It indicates that the impact of the copper future price in SHFE on the global market has been increasing in recent years
Keywords
commodity trading; copper; pricing; Granger causality test; London Metal Exchange; Shanghai Futures Exchange; cointegration test; futures copper price; Copper; Equations; Fluctuations; Globalization; Least squares approximation; Pricing; Statistical analysis; Statistics; Testing; Time series analysis; Causal relationship; Cointegration; Futures copper;
fLanguage
English
Publisher
ieee
Conference_Titel
Management Science and Engineering, 2006. ICMSE '06. 2006 International Conference on
Conference_Location
Lille
Print_ISBN
7-5603-2355-3
Type
conf
DOI
10.1109/ICMSE.2006.314173
Filename
4105277
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