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Price linkages between Chinese and world copper futures markets

Author

Listed:
  • LI Xindan

    (School of Management and Engineering, Nanjing University, Nanjing 210093, China)

  • ZHANG Bing

    (School of Management and Engineering, Nanjing University, Nanjing 210093, China)

Abstract

The purpose of this paper is to investigate the time varying relationships between the Chinese copper futures market and its London counterparts. Rolling correlation and rolling Granger causality test show that with the development of the Shanghai copper futures markets?it has stronger connections with its London counterpart and it plays more and more important role in the price discovery process. There is a long run relationship between the Shanghai futures exchanges (SHFE) and London Metals exchanges (LME) copper futures prices. The influence of LME on SHFE is greater than that of SHFE on LME. The research will shed light on the openness of the Chinese copper commodity markets and on the nature of cross-market information transmission.

Suggested Citation

  • LI Xindan & ZHANG Bing, 2008. "Price linkages between Chinese and world copper futures markets," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, vol. 3(3), pages 451-461, September.
    • Handle: RePEc:fec:journl:v:3:y:2008:i:3:p:451-461
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    File URL: http://journal.hep.com.cn/fec/EN/10.1007/s11459-008-0021-9
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    More about this item

    Keywords

    price linkage; copper futures; rolling test;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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