Abstract
Abstract: Price discovery and market efficiency are the centerpiece of the market microstructure design. This study investigates the nonlinear correlation between the spot and futures prices in China's copper market using nonlinear Granger causality and multifractal methods, and it further analyzes the dynamic efficiency of China's copper futures market. According to the results of the nonlinear Granger causality test, there is a significant bidirectional nonlinear causality between the spot and futures prices in China's copper market. Excluding the effects of the first and second orders, there is still a high-order correlation between the spot and futures prices of the copper market. Additionally, the multifractal detrended cross-correlation analysis (MF-DCCA) method is used to obtain the long-term correlations of high order in the spot and futures markets. The time-varying rolling Hurst exponent indicates that the efficiency of China's copper futures market has gradually become more effective over time.
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