沪铜期货与现货协整关系分析

Analysis on the Co-integration Relationship between Future Goods and Spot Goods of Shanghai Copper

以协整检验理论为依据,对沪铜期货与现货之间是否存在协整关系进行了实证分析,结果表明两者之间存在协整关系,针对实证的结果,建立了反映两者之间短期关系的误差修正模型,并分析了出现这种结果的原因。

Based on co-integration test theory,this paper makes an empirical analysis on whether the co-integration relationship exists between future goods and spot goods of Shanghai copper with the result showing that the co-integration relationship exists between the two sides,and in the light of the empirical result,establishes the error correction model reflecting the short-term relationship between the two sides,and analyzes the reasons of such result.