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通过相关性系数、线性格兰杰因果检验以及非线性格兰杰因果检验,研究铜、铝和锌期货收益率之间的相互关系。研究结果表明,铜、铝和锌期货收益率之间存在显著的相关性,且铜和锌期货收益率之间相关性明显大于其他两组有色金属期货收益率的相关性;铜和铝期货收益率之间既存在双向的线性格兰杰因果关系,又存在双向的非线性格兰杰因果关系;而锌期货收益率对铜和铝期货收益率的线性格兰杰因果关系是单向的,但非线性格兰杰因果关系为双向的。
Through the correlation coefficient, the linear Granger causality test and the non-linear Granger causality test to study the correlation between the copper, aluminum and zinc futures yields. The results show that there is a significant correlation between copper, aluminum and zinc futures rate of return, and copper and zinc futures rate was significantly higher than the correlation between the other two groups of non-ferrous metals futures rate of return correlation; copper and aluminum futures gains There exists a two-way linear Granger causality and a two-way non-linear Granger causality. The linear Granger causality of zinc futures yields to copper and aluminum futures yields is unidirectional, But the nonlinear Granger causality is two-way.