【作者】 刘志新； 贾宁；

【Author】 LIU Zhi-xin, JIA Ning(The School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100083, China)

【机构】 北京航空航天大学经济管理学院；

【摘要】 本文借鉴VAR模型,运用Granger因果检验,以及方差分解和脉冲响应函数,刻画沪铜市场期现货波动间的互动关系,并与LME铜市场进行比较。研究表明沪铜期货市场对沪铜现货具有单向的滞后引导关系,且具有一定国际影响力,但仍与国外成熟市场存在差距。更多还原

【Abstract】 This article applies Granger Causality Test, Impulse Response Function, which is based on the VAR Model, to portray the interaction between copper’ s futures and spot markets in Shanghai, and compares it with London. The results show that the futures copper volatility singularly leads lag of spot copper volatility in Shanghai, and Shanghai futures market has certain influence in the world, but the disparities still exist.更多还原