国内外期铜市场互动及其价格波动关系研究

An Empirical Study on the Co-movement and Volatilities between International and China's Copper Future Markets

文章全方位检验了国内期铜市场和国际市场(伦敦市场)的互动关系,并应用VEC模型考察了它们之间的波动性。结论表明,国内期铜市场已经真正融入了世界,进一步开放的时机已经成熟;中国在国内外市场“定价权”地位已正式确立。不过,要充分发挥该市场套期保值功能,还应在实际操作中因市场而异。

This paper fully investigates the co-movement between international（London market） and China＇s copper future markets and examines the volatility transition with the VEC model. Conclusions indicate that China＇s copper market has been a part of the global market and is ready for a further open to the outside, moreover China has obtained the ＂making prices＂ status in domestic and international markets. Meanwhile, a more flexible schedule should be made in practice so as to fully take the advantage of the market＇s hedging function.