Price discovery for copper futures in informationally linked markets
The 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.
Volume (Year): 16 (2009)
Issue (Month): 15 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:16:y:2009:i:15:p:1555-1558. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.