Abstract
Based on the synergetics perspective, this paper constructs a composite system of non-ferrous metal futures and stock prices, using MATLAB to analyze the data of 3405 trading days from 2004 to 2018 in China. The empirical results show that non-ferrous metal stock prices are generally more orderly than futures prices in the selected period; the price discovery function of aluminum futures is worse than that of copper and zinc; and the 2008 financial crisis has an indelible negative impact on the coordination of China's non-ferrous metals futures market. Finally, this paper discusses whether there are representative metals in the non-ferrous metal market, and makes a brief summary.
Highlights
Introduction and literature reviewBefore 2000, the overall performance of the commodity market was not active
Wang Daoping and Jia Yuning (2018) used Commodity Confidence Index (CCI), Directed Acyclic Graph (DAG) and VAR model to study the relationship between Chinese commodity prices and investor sentiment, inflation
Along with the financialization of commodities, non-ferrous metal futures and stock markets have steadily increased in order
Summary
Before 2000, the overall performance of the commodity market was not active. Its correlation with the stock market is not high, and the correlation between different varieties in the commodity market is low. After 2004, the correlation between commodity futures prices of different varieties increased significantly. After 2008, the correlation between commodity futures prices and stock index increased significantly. The academia called this phenomenon the financialisation of commodities. Many scholars have studied the relationship between futures market and stock market. Wang Daoping and Jia Yuning (2018) used Commodity Confidence Index (CCI), Directed Acyclic Graph (DAG) and VAR model to study the relationship between Chinese commodity prices and investor sentiment, inflation. There are many previous studies on the linkage relationship between futures price and stock price, but few scholars regard each financial market as a complex system to study the synergetic development between them. Order parameter order degree, entropy weight and synergy degree are calculated by MATLAB
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