LI Xindan , ZHANG Bing
Author information
School of Management and Engineering, Nanjing University, Nanjing 210093, China
Abstract
The purpose of this paper is to investigate the time varying relationships between the Chinese copper futures market and its London counterparts. Rolling correlation and rolling Granger causality test show that with the development of the Shanghai copper futures markets?it has stronger connections with its London counterpart and it plays more and more important role in the price discovery process. There is a long run relationship between the Shanghai futures exchanges (SHFE) and London Metals exchanges (LME) copper futures prices. The influence of LME on SHFE is greater than that of SHFE on LME. The research will shed light on the openness of the Chinese copper commodity markets and on the nature of cross-market information transmission.
price linkage, copper futures, rolling test
LI Xindan , ZHANG Bing. Price linkages between Chinese and world copper futures markets. Front. Econ. China, 2008, 3(3): 451‒461 https://doi.org/10.1007/s11459-008-0021-9