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个人投资者和金融机构一直都很关注伦敦与上海金属期货之间的关联程度。本文采用二元GARCH模型对上海期货交易所的铜和铝进行了实证分析,结果表明:上海期货交易所的铜和伦敦金属交易所铜期货价格相互影响,但伦敦市场对上海市场的影响力要大于上海市场对伦敦市场的影响力;伦敦市场的铝期货价格对上海市场的影响显著,但上海市场对伦敦市场价格影响并未显现。
Individual investors and financial institutions have always been concerned about the correlation between London and Shanghai metal futures. This paper uses binary GARCH model to analyze the copper and aluminum in Shanghai Futures Exchange. The results show that the price of copper on the Shanghai Futures Exchange and the price of the Copper Exchange on the London Metal Exchange affect each other, but the influence of the London market on the Shanghai market Which is greater than the Shanghai market’s influence on the London market. The aluminum futures prices in London have a significant impact on the Shanghai market, but the Shanghai market’s impact on the London market prices does not show up.