中国沪铜与伦铜、纽铜市场影响力比较研究——基于价格发现和溢出效应动态关系的分析  

Comparative study on market influence of Shanghai copper and Lun copper and new copper in China——Analysis of dynamic relationship based on price discovery and spillover effects

作　　者：宋波 邢天才[1] 

机构地区：[1]东北财经大学金融学院

出　　处：《价格理论与实践》2018年第3期127-130,共4页Price:Theory & Practice

摘　　要：中国上海期货交易所的期货交易对稳定整个金属铜期货市场,提升独立自主价格发现功能有重要促进作用。本文采用2013年12月20日至2018年5月3日中国上海期货交易所铜期货和伦铜、纽铜期货日收盘价数据,利用VECM模型、公共因子模型、BEKK-GARCH模型、CCC-GARCH模型,研究了沪铜期货价格发现功能。结果表明：沪铜、伦铜、纽铜期货存在协整关系;沪铜期货在连续交易制度实施后已经具备超出伦铜、纽铜期货价格发现功能,但沪铜期货与外界信息交流不够。With the development of Shanghai copper futures in China, it is important to stabilize China＇s metal and copper futures market and improve the function of independent price discovery. Based on December 20, 2013 to May 3, 2018, Shanghai copper futures of the commodity futures exchange and London copper, and New York copper futures daily close＇s price data, using the VECM model, common factor＇s model and BEKK-GARCH model, CCC-GARCH model, and studied the Shanghai copper futures price discovery function in our country. The results show that there is a co-integration relationship between Shanghai copper, London copper and New York copper futures. After the implementation of the continuous trading system, Shanghai copper futures have already over the functions of discovering the prices of London copper and New York copper futures, but the exchange of information between Shanghai copper futures and the outside world is insufficient.

关 键 词：铜期货 连续交易 价格发现 波动溢出效应 VECM模型 

分 类 号：F713.35[经济管理—产业经济] F764.2