期铜价格引导关系和互谐关系实证研究

Futures Prices Lead Relationship, Cointegration and Empirical Analysis

本文简单介绍了Granger引导关系，并利用该方法对上海金属交易所和深圳有色金属交易所一月期铜价格，上海金属交易所和伦敦金属交易所的一月期铜价格，上海金属交易所一月期铜和二月期铜与现货价格之间的互谐关系（Cointegration）和引导关系进行了详细的实证分析。研究结果表明上海与深圳的一月期铜，上海的铜期货与现货之间存在着即时的双向价格引导关系，而上海与伦敦的一月期铜的价格之间在总体上不存在引导关系，只在其中很短的一段时间内存在引导关系，此外，本文还给出了合理的解释。

In this paper, lead relationship and cointegration are briefly described. Then,we use this method to study the cointegration and causal relationships between the copper futures at Shanghai Metal Exchange and that at Shenzhen Mercantile Exchange, between the copper futures at Shanghai Metal Exchange and that at London Metal Exchange, be-tween the cash copper and copper futures at Shanghai Metal Exchange. The results show that the coingegration and causal relationships exist in the first case and the last case, but in the second case lead relationships only exists in one period of the whole range studied,and a reasonable explanation is given in the paper.