Abstract
The causal relationship of 3-month copper futures price in Shanghai Futures Exchange (SHFE) and London Metal Exchange (LME) is examined in this paper by cointegration test and Granger causality test. The results show that as the biggest metal futures exchange in the world, future price of copper in LME is the Granger causality of that of copper in SHFE for a long time. However, there is dual causality of copper futures price between SHFE and LME in recent years. It indicates that the impact of the copper future price in SHFE on the global market has been increasing in recent years.
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