The Error Correction Model Building of the Copper Futures Prices between SHFE and LME

摘要：

In this article, it is primary to test the copper futures prices of London Metal Exchange (LME) and Shanghai Futures Exchange (SHFE). After demonstrating the Co-Integration relationship between the copper futures prices in LME and SHFE, an ECM is built. The result shows that two price series follow the cointegration. Moreover, our empirical analysis shows that the changing of copper futures price of LME can show much information about that of SHFE.

关键词： Engle-Granger Two-Steps DF & ADF Test ECM

作者: Wu Fang Liu Juan

作者单位: Capital University of Economics and Business China 100026

会议类型: 国际会议

会议名称: 统计模型与中国西部区域经济开发：贸易、投资和WTO国际会议(Statistical Model and Regional Economic Development in West China:Trade,Investment and the WTO International Conference Thesis Collection)

会议地点: 北京

会议语种:英文

页码: 354-361

在线出版日期: 2005-11-10（万方平台首次上网日期，不代表论文的发表时间）