铜期货价格与现货价格引导关系的实证研究

An Em pirical Analysis on the Casual Relationship between Copper Future and Cash Copper

本文通过实证分析的方法 ,证实了上海金属交易所 1#铜 990 9期货合约的价格与现货价格两个时间序列满足同阶平稳 ,它们之间存在协整关系 ,给出误差校正模型 (ECM) 。

In this paper,causal relationship and cointegration are introduced.Using these models, this paper takes the copper future at Shanghai Metal Exchange as the object of study to test the causal relationship between copper future and cash copper.The result shows that the two price se- ries follow the cointegration relationship.Finally,with a given ECM,our empirical analysis shows that the casual relationship exists between the two prices series.