| SHFE与LME期铜价格关系实证研究 |
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| 引用本文： | 周志明,唐元虎. SHFE与LME期铜价格关系实证研究[J]. 数理统计与管理, 2004, 23(1): 15-18,57 |
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| 作者姓名： | 周志明 唐元虎 |
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| 作者单位： | 上海交通大学管理学院,上海,200030 |
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| 摘 要： | 本文介绍了Granger引导关系模型,并利用这个模型对伦敦金属交易所(LME)三个月期铜和上海期货交易所(SHFE)五个月期铜进行了价格引导关系检验。检验结果显示,伦敦金属交易所三个月期铜价格滞后引导上海期货交易所五个月期铜价格,但是上海期货交易所对伦敦金属交易所的期铜价格不具有滞后价格引导关系。
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| 关 键 词： | 期货市场 谐整关系 引导关系 |
| 文章编号： | 1002-1566(2004)01-0015-05 |
An empirical analysis on the cointegration and casual relationship of the futures copper between SHFE and LME |
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| ZHOU Zhi-ming,TANG Yuan-hu. An empirical analysis on the cointegration and casual relationship of the futures copper between SHFE and LME[J]. Application of Statistics and Management, 2004, 23(1): 15-18,57 |
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| Authors: | ZHOU Zhi-ming TANG Yuan-hu |
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| Abstract: | In this paper,cointegration and causal relationship are introduced.Using these models,this paper takes the futures copper prices of London Mental Exchange(LME)and Shanghai Futures Exchange(SHFE)as the object of study to test the cointegration and causal relationship between them.The result shows that two price series follow the cointegration.Moreover,our empirical analysis shows that the futures copper price of LME lead-lag that of SHFE while the futures copper price of SHFE doesn't lead-lag that of LME. |
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| Keywords: | Futures market Cointegration lead-lag |
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