国际铜期货市场整合：沪铜国际影响凸显

本文运用含协整残差的双变量EGARCH模型,研究上海SHFE和伦敦LME铜期货市场的动态整合关系.统计结果显示两个市场的收益及其风险存在对称的溢出效应,全球铜市供求因素驱动最新收益和风险信息在两者之间传递。沪铜期货有突出的国际定价影响.在全球24小时交易中,LME和SHFE交替成为国际铜价的主要信息来源.SHFE和LME市场的收益变化均以对方市场的影响为主;市场风险则以本市场的影响为主.影响两个市场动态整合度的因素有滞后一期的市场风险、沪铜成交量、伦铜的超额收益等。

Integration between International Copper Futures Markets: Evidence of Shanghai Copper Futures' Outstanding International Influence

Using a bivariate EGARCH model including cointegration errors,this paper studies the dy- namic integration between Shanghai(SHFE)and London(LME)copper futures markets.The empirical results show there is a symmetric mean return and risk information transmission between two markets. Global demand and supply drive the latest return and risk information to flow between them.SHFE copper futures prices have outstanding international influences.LME and SHFE in turn act as a primary information source of international copper price in 24 hours global trading.For both markets,each return is mainly influenced by the other,yet risk is primarily affected by its own lagged value.The first-lagged SHFE and LME market volatilities,SHFE trading volume,LME excess returns are the determinants of dynamic market integration.