上海和伦敦金属期货市场价格联动性研究——以铜铝锌期货市场为例

Research on Futures Price Relations Between The Shanghai Futures Exchange and The London Mental Exchange

本文基于2011-2016年期货铜铝锌的价格时间序列,对上海和伦敦金属期货市场间价格关系展开研究。首先,借助基于Granger因果检验和脉冲响应分析中英市场价格间长期均衡关系。然后,考虑到两个市场间的动态相关时变性,利用二元DCC-GARCH模型分析上海和伦敦市场价格间短期动态联动性。结果表明:上海和伦敦金属期货市场间存在长期均衡关系,存在滞后效应,且铜期货市场间存在双向引导作用;此外,还发现上海和伦敦期货市场的联动性具有显著的时变性,其中,铜市场间的动态联动性最强,锌次之,铝最弱。

Based on the 2011-2016 price series of copper, aluminum and zinc futures,this paper studies the price relationship between Shanghai and London metal futures markets.First, the Granger causality test and impulse response analysis are used to analyze the long-term equilibrium relationship of market prices between SHFE and LME. Then, considering the dynamic and time-dependent variability between two markets, the DCC-GARCH model is used to analyze the short-term dynamic linkage of prices between the SHFE and LME.The result shows： There is a long-term equilibrium relationship between Shanghai and London metal futures market, there is a lag effect, and the futures market exists between the two-way guide;In addition, we also find that the linkage between Shanghai and London futures market has significant time variation. Among them, the dynamic linkage between copper market is strongest, followed by zinc and aluminum is the weakest.