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本文根据金融市场价格“传染”及“价格联动”的原理,利用具有马尔可夫状态转移的自回归、向量自回归模型对国际LME铝、铜市场以及中国SHFE铝、铜市场的价格联动关系进行了比较研究。研究发现国际金属期货市场不存在价格联动现象,LME铝市场一直处于低波动状态,而LME铜市场是一个高波动与低波动交替出现的市场;中国金属期货市场存在明显的状态转移及价格联动现象,特别是2003年中期以后,两个市场随着国内新一轮经济周期的到来均表现为高波动、高收益的状态,进一步利用Granger检验及不同状态下的非线性脉冲响应函数(IRF)得到SHFE铜市场在“价格联动”过程中“传染”性强于SHFE铝市场的结论。
Based on the principle of financial market price “contagion ” and “price linkage ”, this paper uses the autoregressive and vector autoregressive model with Markov transition to analyze the international LME aluminum and copper markets and China’s SHFE aluminum and copper markets Price linkage between the comparative study. The study found that there is no price linkage in the international metal futures market, LME aluminum market has been in a low volatility, while the LME copper market is a market with high volatility and low volatility. There is a clear state transition and price linkage in China’s metal futures market , Especially since the middle of 2003, both markets showed high volatility and high yield with the arrival of the new round of domestic economic cycles. Further, Granger test and nonlinear impulse response function (IRF) under different conditions were used to obtain SHFE copper market in “price linkage ” in the process “contagion ” is stronger than SHFE aluminum market conclusion.