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。
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.
出处
《首都经济贸易大学学报》
2005年第3期34-38,共5页
Journal of Capital University of Economics and Business
关键词
期货价格
因果关系
协整
future price
causal relations
cointegration
