The Relationship between Prices of Domestic and Foreign Futures Market

Using the data of aluminium of Shanghai and London futures exchange, the long-term and dynamic relationship between them are examined. The results suggest that: (1) there are two-way causal relationship between the prices of Shanghai and London futures exchange at the significant level of 10%; (2) the cointegrating residual can be an important explanatory variable for both the conditional mean and the conditional variance and describe the volatility accurately in the aluminum market of Shanghai futures exchange; (3) Shanghai futures exchange market has the reverse lever effect. The influence of good news on the fluctuation of the aluminum futures´ prices is greater than that of bad news. Investors have obvious optimistic investment mood, and is easily influenced by good news; (4) the conditional variance will increase with the deviation of domestic and foreign futures prices increasing.