Price discovery for copper futures in informationally linked markets
AbstractThe purpose of this article is to contribute to the research on informationally linked markets by investigating the relationships between the Chinese copper futures market and its London counterparts. There is a long run relationship between the Shanghai Futures Exchanges (SFE) with London Metals Exchange (LME) copper futures prices. Furthermore, we find that three regime Markov switching model with changing intercept and variance turns out to be good description of the data. The influence of LME on SFE is bigger than that of SFE on LME.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 16 (2009)
Issue (Month): 15 ()
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- Sinha, Pankaj & Mathur, Kritika, 2013. "Price, Return and Volatility Linkages of Base Metal Futures traded in India," MPRA Paper 47864, University Library of Munich, Germany.
- Roque Montero & Javier García-Cicco, 2012. "Modelo y Pronóstico del Precio del Cobre: Un Enfoque de Cambio de Regímenes," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(2), pages 099-116, August.
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