摘要
分析表明,2006年1月5日至2010年4月29日上海期货交易所与伦敦金属交易所三个月期铜收盘价对数收益率一阶差分互为Granger原因,溢出指数为15.6%,说明上海期货交易所与伦敦金属交易所存在明显的收益溢出效应。进一步分解溢出指数,结果显示伦敦金属交易所在联动过程中处于主导地位,但溢出指数呈现下降的趋势,表明上海铜期货定价的自主性逐步加强。目前上海期货交易所还无法挑战伦敦金属交易所的世界铜定价中心的地位,中国还需进一步提升实力,增强国际铜定价的"话语权"。
The spillover effect of copper futures＇ return between LME and SHFE is obvious and the spillover index of LME and SHFE is 15.6% and logarithm return rate first order difference is reciprocally Granger causality based on three months futures copper closing price of SHFE and LME from January 5th, 2006 to April 29th, 2010. The spillover index is further analyzed, and the results show that LME has a leading position on the linkage of copper＇ s price between home and abroad but the spillover index demonstrates the falling trend, which indicates that the pricing autonomy of copper futures of SHFE is gradually increasing. Currently, SHFE can not challenge the central pricing position of LME for global copper, China needs to further increase its power and to strengthen discourse right for international copper pricing.
出处
《西部论坛》
2011年第6期102-108,共7页
West Forum
