Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Management Review》 2008-01
Add to Favorite Get Latest Update

International Transmission on Information in Copper Futures Markets

Han Liyan and Zheng Kuifang  
Using AR(1)-Asymmetric GARCH specification, this paper studies return, volatility and trading volume spillover effects between LME and SHFE copper futures markets. Empirical results indicate LME trading information is incorporated into SHFE open price, and affects SHFE trading returns’ volatility. SHFE trading information has a very significant spillover effect on LME trading return’s level and volatility, whereas less significant on LME open auction than LME trading on SHFE open price. Although in short term SHFE copper trade greatly affects LME, LME still leads SHFE in long term. Investors and supervisors can grasp the impact of information transmission between international markets on futures pricing to figure out their focuses.
【CateGory Index】: F724.5
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
【References】
Chinese Journal Full-text Database 3 Hits
1 YANG Chen-hui1,2,LIU Xin-mei1,2,WEI Zhen-xiang1,3(1.School of Management,Xi'an Jiaotong University,Xi'an 710049,China;2.The Key Lab of the Ministry of Education for Process Control & Efficiency Engineering,Xi'an 710049,China;3.Zhengzhou Commodity Exchange,Zhengzhou 450008,China);Information Transmission Effect between Agricultural Commodity Futures Market and Spot Market in China[J];Systems Engineering;2011-04
2 LIANG Yan,XU Yuan-hua School of Economics,Dalian University of Technology,Dalian 116024,China;Research on Impacts of Overnight Information on the Stock Market about Asymmetric SV Model[J];Journal of Dalian University of Technology(Social Sciences);2011-03
3 XU Jian YANG Jia-hui XU Dan;Study on Nickel Price Interaction between Overseas Market and Chna's[J];Journal of Central University of Finance & Economics;2009-07
【Citations】
Chinese Journal Full-text Database 2 Hits
1 XU Jian-gang,TANG Guo-xing School of Management,Fudan University,Shanghai 200433,China;Volatility,trading volume,market depth: Evidence from copper futures in Shanghai futures exchange[J];Journal of Management Sciences in China;2006-02
2 XIAO Hui~(1,3),WU Chong-feng~2,BAO Jian-ping~(2,3),ZHU Zhan-yu~2 (1. School of Economics, Fudan Univ., Shanghai 200433, China; 2.Research Center of Financial Engineering, Shanghai Jiaotong Univ., Shanghai 200052; 3.Shanghai Futures Exchanges, Shanghai 200122);The Study on the Price Discovery Process of Copper between the London Mental Exchange and the Shanghai Futures Exchanges[J];Systems Engineering-Theory Methodology Application;2004-06
【Co-citations】
Chinese Journal Full-text Database 10 Hits
1 BAO Chun-sheng (Nanyang Normal University,Nanyang,Henan 473061);Empirical Research on the Dynamic Relationship between Grain Futures and Spot Price[J];Journal of Anhui Agricultural Sciences;2009-21
2 QI Ting-ting,LU Wei(Management School,University of Science and Technology of China,Hefei,230026);An Empirical Research on Price Discovery of CERs Spot Market and Futures Market[J];Journal of Beijing Institute of Technology(Social Sciences Edition);2009-06
3 LIU Peng1,QIAN Feng2,TENG Jun2(1.College of Food Science and Technology,Nanjing Agricultural University,Nanjing 210095,China;2.Golden Sun Security Limited Company,Nanchang 310000,China);Empirical Research on the Dynamic Relationship between PTA Futures and Spot Price[J];Commercial Research;2010-12
4 LIU Qing-fu,ZHONG Wei-jun;Price discovery and volatility spillovers in China's metal spot-futures markets[J];Journal of Southeast University(Philosophy and Social Science);2007-03
5 YU Wen-jia,WANG Gao-shang,WANG An-jian Research Center for Strategy of Global Mineral Resources,CAGS,Beijing 100037;A Study of Copper Futures Market Abroad and Reasonable Copper Price Range[J];Acta Geoscientica Sinica;2010-05
6 WANG Jun;Research on the Linkages of World Soybean Oil Futures Markets: Based on Sino-US Empirical Analysis[J];International Business;2008-03
7 LI Shuai1,XIONG Xiong1,ZHANG Wei1,2,LIU Wen-cai3,KOU Yue4(1.Management School of Tianjin University,Tianjin 300072,China;2.Tianjin University of Finance And Economic,Tianjin 302222,China;3.Shanghai Futures Exchange,Shanghai 200122,China;4.School of Accountancy,The Chinese University of Hong Kong,Hong Kong,China);The Price Discovery of Common Factor in China Stock Markets:Shanghai Index,H Index and H Index Futures[J];Systems Engineering;2007-08
8 Chang Yanni 1,Wang Haihong2(1.Shaanxi Radio & TV University,Xi'an,Shanxi 710068;2.School of Management,Lanzhou University,Lanzhou,Gansu 730000);The Historical Review and Analysis of Copper Product Price Mechanism[J];Reformation & Strategy;2010-11
9 Zhang Hongmin,Energy & Chemical Department of Shanghai Futures Exchange,Liao Zhaoli,Zhejiang Department of CBRC;An empirical study about the run-efficiency of fuel oil futures market in SHFE[J];International Petroleum Economics;2009-08
10 Guo Shuhua Wang Hua Gao Zubo Wang Lixian;A Study on the Interactive Linkage and Fluctuation of the Prices among Metal Futures Markets——Taking the copper and aluminium of SHFE and LME for example[J];Studies of International Finance;2010-04
China Proceedings of conference Full-text Database 2 Hits
1 ;Study on the Price Discovery of Copper Future Market in Shanghai Future Exchange——Based on Regime Switching Time Series Model[A];[C];2008
2 Zhou Zhou 1,Wei Zhuo2 (1 Research Center on Fictitious Economy and Data Science,CAS,Beijing 100080) (2 School of Management,Graduate University of Chinese Academy of Sciences,Beijing 100080);Study on Price Discovery in Index Future Market——Based on Common Factor Models[A];[C];2011
【Co-references】
Chinese Journal Full-text Database 10 Hits
1 YANG Er-peng,ZHANG De-sheng (Xi'an University of Technology,Xi'an 710054,China);Empirical Study of Fluctuation Rate of Shanghai and Shenzhen 300 Index Based on GARCH Model[J];Journal of Yangtze University(Natural Science Edition) Sci & Eng V;2010-01
2 HAN De-zong 1,YU Hong-dan 2 (1.School of Finance,Hangzhou University of Commerce,Hangzhou 310035,China; 2.University of Southampton,Highfield,Southampton,UK,SO171BJ.);Study on Comparison of Weak-form Efficiency of Stock Markets Between China and U.S.A.[J];Collected Essays on Finance and Economics;2002-02
3 WANG Weian HE Cong (College of Economics, Zhejiang University, Zhejiang 310027, China);Real Estate Prices and Monetary Supply and Demand: Empirical Events and Theory Hypothesis[J];The Study of Finance and Economics;2005-05
4 WANG Wei-an,HE Cong(Institute of Financial Research,Zhejiang University,Hangzhou 310027,China);Real Estate Price and Inflation Expectation[J];Journal of Finance and Economics;2005-12
5 HAN Dong-mei ,LIU Lan-juan, CAO Kun(School of Information Management and Engineering, Shanghai University of Finance and Economics, Shanghai 200433, China);Empirical Analysis on Real Estate Price Bubble Based on State-space Model[J];Journal of Finance and Economics;2008-01
6 YANG Xiang-yu,CUI Ying-yuan (College of Mathematics and Econometrics,Hunan University,Changsha,Hunan 410082,China);Risk Measurement of Open-end Funds Portfolio of China Based on Copula-GARCH-EVT Model[J];The Theory and Practice of Finance and Economics;2009-05
7 KUANG Weida (Institute of Finance and Trade Economics,CASS,100836);A Study on the Relationship Between Housing Pricing and Land Pricing:Basic Model and Evidence from China[J];Finance & Trade Economics;2005-11
8 LI Hai-ying1 MA Wei-feng1 LUO Ting2(1. School of Economics and Management, Tongji University, Shanghai 200092; 2. Qingdao University, Qingdao 266071);Study on Price Discovery Function of Shanghai Fuel Oil Futures Based GS Model[J];Finance and Trade Research;2007-02
9 WANG De; HUANG Wanshu;HEDONIC HOUSE PRICING METHOD AND ITS APPLICATION IN URBAN STUDIES[J];City Planning Review;2005-03
10 LIU Hong-yu WANG Song-tao;Stabilizing effect analysis of marketing price and policy choice for forward delivery houses[J];Urban Problems;2006-06
【Secondary Citations】
Chinese Journal Full-text Database 2 Hits
1 CHEN Yi-ling, SONG Feng-ming Tsinghua University, Beijing 100084, China;An empirical study on the relationship between price changes and trading volume in China stock market[J];JOURNAL OF MANEGEMENT SCIENCES IN CHINA;2000-02
2 XIAO Hui~(1,3),WU Chong-feng~2,BAO Jian-ping~(2,3),ZHU Zhan-yu~2 (1. School of Economics, Fudan Univ., Shanghai 200433, China; 2.Research Center of Financial Engineering, Shanghai Jiaotong Univ., Shanghai 200052; 3.Shanghai Futures Exchanges, Shanghai 200122);The Study on the Price Discovery Process of Copper between the London Mental Exchange and the Shanghai Futures Exchanges[J];Systems Engineering-Theory Methodology Application;2004-06
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved