Research on the Dynamic Relationship among China’s Metal Futures, Spot Price and London's Futures Price


  •  Ruyin Long    
  •  Lei Wang    

Abstract

This paper studies the dynamic relationship among futures price, spot price of Shanghai metal and futures price of London with the co-integration theory, Granger causality tests, residue analysis, impulse responses function, and variance decomposition on the VECM. The study shows the three have the long equilibrium relationship: the copper futures price of Shanghai have internalities to the futures of London; the aluminum futures price have externalities; the three have different price discovery functions.


This work is licensed under a Creative Commons Attribution 4.0 License.