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《Natural Science Journal of Harbin Normal University》 2004-02
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CONINTEGRATION ANALYSIS OF COMMODITY FUTURES PRICES IN SANGHAI, CHINA AND LONDON, UK

Gao Hui(Dongbei University of Finance & Economics)  
In this articls, we analysis the degress of association of Chinese commodity futures markets, with which we take the Sanghai Futures Exchange and the London Metal Exchange in United Kingdom as examples. We analysis the conintegration relation beteen the Close Price and Open Interest of copper futures in the Sanghai Futures Exchange. Furthermore, we find that there is a conintegration relation between the copper futures price and the copper spot price of Sanghai in China. Thereby, these findings have demonstrated the relation of convergence between the futures price and the spot price. In hence, these findings have also testified availability of Sanghai futures markets.
【CateGory Index】: F224
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