中国期铜市场的国际定价功能研究被引量：29

International Pricing of Copper in Shanghai Futures Markets

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摘要本文借助现代计量经济分析方法,对上海期货交易所、伦敦金属交易所和纽约商业交易所铜期货价格之间的联系以及各个市场在价格发现中的贡献份额进行了实证研究,研究结果表明:三个市场铜期货价格之间存在协整关系,期货价格之间相互影响、相互作用,一个市场的价格信息将对另外两个相关市场的价格波动产生影响;伦敦期铜市场在国际定价中处于主导地位,纽约市场次之,上海市场的定价能力最小,但上海市场与纽约市场的国际定价能力较为接近。 For studying the international pricing of copper in China, the relationships of copper futures prices among Shanghai Futures Exchange （SHFE）, London Metal Exchange （LME） and New York Mercantile Exchange （NYMEX） and their contributions to price discovery are investigated empirically with econometrics. The results show that there is a cointegration relationship among three copper futures prices in different markets and they influence each other. The price information can transmit from one to other two markets. In general, LME plays a dominant role in the international pricing of copper, NYMEX plays weaker role than LME and SHFE has the weakest pricing ability. Nevertheless the international pricing level in SHFE is close to that in NYMEX.

作者华仁海卢斌刘庆富

机构地区南京财经大学金融学院复旦大学金融研究院

出处《数量经济技术经济研究》 CSSCI 北大核心 2008年第8期83-93,122,共12页 Journal of Quantitative & Technological Economics

基金国家自然科学基金(70573044) 江苏省“六大人才高峰”项目(06A003)的资助

关键词期货市场信息联结国际定价 Futures Market Information-linked International Pricing

分类号 F830.9 [经济管理—金融学]

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参考文献18

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