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Price discovery for copper futures in informationally linked markets

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  • Xindan Li
  • Bing Zhang

Abstract

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.

Suggested Citation

  • Xindan Li & Bing Zhang, 2009. "Price discovery for copper futures in informationally linked markets," Applied Economics Letters, Taylor & Francis Journals, vol. 16(15), pages 1555-1558.
  • Handle: RePEc:taf:apeclt:v:16:y:2009:i:15:p:1555-1558
    DOI: 10.1080/13504850701578801
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    Cited by:

    1. Kang, Sang Hoon & Yoon, Seong-Min, 2016. "Dynamic spillovers between Shanghai and London nonferrous metal futures markets," Finance Research Letters, Elsevier, vol. 19(C), pages 181-188.
    2. repec:eee:jrpoli:v:52:y:2017:i:c:p:277-283 is not listed on IDEAS
    3. Etoundi Atenga, Eric Martial, 2014. "Asymmetric shocks, persistence in volatility and spillover effects between non ferrous metals on the LME spot market," MPRA Paper 61017, University Library of Munich, Germany.
    4. 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.
    5. 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.
    6. repec:ocp:dbbook:9-789954-971789 is not listed on IDEAS

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