Abstract
This paper analyzes the price correlation effect between domestic and foreign copper futures contracts. The VAR-BEKK-GARCH (1,1) spillover effect model and the BN-S class non-parametric model based on the jumping perspective are used. The co-integration test shows a long-term equilibrium relationship between the three copper futures markets, and the Granger causality test shows that copper futures contracts have significant two-way spillover effects between different periods in Shanghai for New York copper and unidirectional mean spillover effects for London copper. The BEKK model shows significant bidirectional fluctuation spillover effects between the futures contracts of the Shanghai, London, and New York copper markets before the stock market crash. After the crash, Shanghai and New York copper have significant one-way fluctuation spillover effects on London copper futures contracts. There are jumps within a single market, and the number of joint jumps between markets increases with the significance level.
Highlights
Owing to its outstanding ductility, thermal conductivity, and electrical conductivity, copper is widely used in various fields such as electric power, construction, home appliances, transportation, and other industries
The innovation of this paper includes: (1) This paper extends other scholars’ work based on the copper futures contract price before the diffusion angle of empirical research and the diffusion angle using the cointegration test, the Granger causality test, and BEKK model research, based on the future jump, from the perspective of the use of the BN-S nonparametric test method and the linkage of the copper futures price in particular market environment characteristics
The Shanghai copper futures market price is taken as the benchmark, the New York copper futures price and the London copper futures price are taken as the independent variables, and empirical analysis is carried out using the ECM model and impulse response and variance decomposition, enriching the research on the linkage phenomenon between the domestic and foreign copper futures markets from the perspective of diffusion
Summary
Owing to its outstanding ductility, thermal conductivity, and electrical conductivity, copper is widely used in various fields such as electric power, construction, home appliances, transportation, and other industries. Based on the DCC method, some researchers have developed the trend consistency of futures price fluctuations for the London and Shanghai copper markets [11,12]. From the perspective of diffusion and jump, to clarify the reasons and paths of the interaction effect of Shanghai, New York, and London copper futures markets, and put forward feasible measures for the development of the current Chinese copper futures market, this article is organized as follows. The Shanghai copper futures market price is taken as the benchmark, the New York copper futures price and the London copper futures price are taken as the independent variables, and empirical analysis is carried out using the ECM model and impulse response and variance decomposition, enriching the research on the linkage phenomenon between the domestic and foreign copper futures markets from the perspective of diffusion.
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