A Study of the Relationship between Copper, Aluminum and Zinc Futures Price Features

摘要：

This paper takes the Shanghai Futures Exchange’s copper, aluminum and zinc futures products as the subject investigated, makes a study of their basic statistical features, and the relationship features between these three futures product prices using the GARCH Model, Johansen Cointegration Test and Granger Causality Test methods, and holds that there is a long-term equilibrium relationship not only between copper, aluminum and zinc commodity prices, but also between futures price and spot price, and the price discovery function of China’s commodity futures market has been preliminarily realized.

关键词： Copper aluminum and zinc Futures and Price feature

作者: Wu Fei

作者单位: School of Business, Beijing Wuzi University, China

会议类型: 国际会议

会议名称: The Ninth Wuhan International Conference on E-Business(第九届武汉电子商务国际会议)

会议地点: 武汉

会议语种:英文

页码: 1244-1247

在线出版日期: 2010-05-29（万方平台首次上网日期，不代表论文的发表时间）