伦敦与上海期铜市场之间的信息传递关系研究

Relationships of Information Transmission between London and Shanghai Copper Futures Markets

为精确刻画伦敦期铜市场与上海期铜市场之间的信息传递关系,本文构建了基于t分布的双变量EGARCH模型和日内信息传递速度检验模型,并利用LME和SHFE的日数据对两市场之间的信息传递效应进行了实证研究。研究结果表明:所构建模型能准确地描述LME与SHFE期铜市场之间的信息传递方式和信息传递关系;两市场之间存在双向价格引导关系与双向波动溢出效应,但相对于上海期铜市场,来自伦敦期铜市场的价格引导力度与波动溢出效应更强;并且,两市场之间日内价格信息的传递是迅速的,作为离岸的交易信息在一个交易日内能迅速被本国市场吸收。

For investigating accurately the information transmission between the London Metal Exchange（LME） ＇ and the Shanghai Futures Exchange（SHFE） in copper futures market, this article gives the bivariate EGARCH model based on student-t distribution and the intraday analysis of information transmission. Then, it examines the pattern of information transmission and transmission relationships in those two markets by using the daily data in LME and SHFE respectively with the models developed above. The empirical results show that the models can describe the relationships of LME and SHFE in copper futures market. And there are the significant hi-directional lead relationships in copper prices and the bi-directional volatility spillovers in market volatilities between LME and SHFE. And the copper futures market of LME plays a dominant role in transmitting information to Chinese market. Moreover, the information transmission across the two futures markets appears to be rapid, as offshore trading information can be absorbed in the domestic market within a trading day.