0003 ( 00433) 964.05-, 00-003, 0 973.9 Emal: Luqf@fudan.edu.cn; 0003 05-83495938. 3905873 E-MAIL: huarenha@homal.com huarh@njue.edu.cn
0003 ( 00433) 004 08 330 5 CBOT LME SHFE NYMEX 004 457.0 06. 36. * 70573044 05SJB7900
Garbade Slber(979) Domnan Marke (Saelle Marke) (Saelles, bu no pure saelles) Pallmann(99) Harrs (995) Hasbrouch(995) Booh Lee Tse(996) 990 994 5 3 3 Booh Brockman Tse(998) CBOT WCE CBOT WCE Covrg Dng Low(004) 5 75% 57% 43% Xu Fung(005) GARCH (TOCOM) (NYMEX) Gang Bucher 994 Granger 004 993 3 3 003 5 LME SHFE SHFE LME 00 004 Johansen Granger 3
004 9 30-30 3 30-5 00 00 05 30 35 5 30 5 35 6 5 6 0 3 5-5 0 6 35-7 00 4 8 0 3 00 4 00 8 00. 9 00 0 00 0 5 00 0 5* 00* * 4
~ 3 5 7 ~ 3 5 7 3 998 998 4 998 998 5 998 005 6 30 79 LME / NYMEX / SHFE / / =0.454 www.safe.gov.cn SH LD NY Ln( C ) Ln( C ) C C ( SH, LD, NY ) SH LD NY ( SH +, LD, NY ) SH + + LD NY 5
Johansen Y 3 k Y µ + Π Y V ; V d ( 0, Σ) () = k = + Y = (,, ) SH LD NY µ 3 Π ( = 3 3, V v, v ) k = + ΠY k + 3 Σ 3 3 Y = µ + Γ Y V () Γ = ( I Π Π K Π) ( =,, K, k ) (3) Π = I Π Π K Π ) (4) ( k Γ Π S F Π Π S F ΠY S F Π α β Π = α β 5 α β β Y λrace λ max 3 λ race = T ln( λ ) 6 = r + λ max = T ln( λr + ) 7 T λ Π 3 r 6
VECM VECM (ECM) SH LD NY = w = w = w p p p + dz + ) SH + α( ) LD + α3( ) NY + = = = α ( ε 8 p p p + dz + ) SH + α ( ) LD + α 3( ) NY + = = = α ( ε 9 p p p 3 + d3z + 3 ) SH + α3( ) LD + α33( ) NY + = = = α ( ε 0 3 α ( ), ( ) α, α ( ) α ( ), α ( ) α ( ) α ( ), α ( ) α ( ) 3 Z ε ε ε 3 3 3 3 33 d, d d, 3 p AIC d, d d Granger 3 Hasbrouck Hasbrouck(995) VECM, 3 P 0 + ( ε ) τ + Ψ k = = P ψ *( L) ε P SH, LD, NY 3* P 3* τ = (,) 3* = ( ) 0 ) Ψ *( L Ψ()ε ψ ) Ψ( ) ε ε, ε, ε ( = 3, Hasbrouck 995 ψε = ψπψ Π ε σ σ f Π Cholesky Π = M M M Hasbrouck 995 S ( M ) σ S = f ψ σ f f 7
3 3 Q 5% Q (36) 3 SHFE LME NYMEX 0.0003 0.0007 0.0005 0.00 0.00 0.00 0.004 0.04 0.040-0.0580-0.489-0.460 4.43 7.0 9.78 JB 48.49(0) 35.5(0) 3368.46(0) Q 36 5.5(0.05) 54.77(0.0) 45.90(0.3) Q (36) 7.7(0) 9.70(0) 8.50(0.8) ln( C ) ln( C ) C JB Jarque-Bera Q 36 Ljung Box Q 36 Q (36) 36 Q 4 4 0.99 4 SH LD 0.994 SH + LD 0.9943 SH NY 0.993 SH + NY 0.9936 8
LD NY 0.9993 5 Ln( C ) Ln( O ) O C Ln( O ) Ln( C ) C O Fama(965) French Roll(986) Chan Chan(993) 5 5 SHFE LME NYMEX 4 ( 0 ).59 0.84. 66.49 0.6 0.78 ( 0 4 ) ADF AIC 6 I() 6 ADF SHFE LME NYMEX 0.87 0.35 0. 9
-43.30-4.36-43.5 ADF 5% -.86. 7 5% % r 0 98.49 9.68 35.65 r 6.66 5.4 0.04 r 0.54 3.76 6.65 7 SH, LD, NY ) Johansen SIC ( r = SH +, LD, NY ) ( 8 SHFE LME SHFE NYMEX LME NYMEX r 0 7.58 7.60 69.48 r 0.50 0.46 0.3 8 SH, LD ) SH, NY ) LD, NY ) ( ( ( Granger Hasbrouck 998 005 6 998 003 004 005 6 9 998 005 6 Granger 8 9 8 Z d -0.0006 Granger 8 0
α ( ) α ( )(,,3 ) 3 = LD NY 9 Granger 998 005 6 SH LD 3 NY C 0.000.06 0.0004.30 0.0004. Z -0.0006-0.40 0.0048.9-0.0040 -.58 SH -0.3395-3.9 0.0476.8 0.03.58 SH -0.099-4. -0.04-0.30 0.058 0.58 SH 3-0.0065-0.3 0.0 0.70 0.033 0.90 LD 0.5.64-0.483-7.05 0.84.83 LD 0.0857.97-0.304-4.8 0.068 0.3 LD 3 0.077.94-0.564 -.94-0.0-0.0 NY 0.44 0.88 0.3945 7.5-0.609 -.56 NY 0.040.57 0.50 4.3-0.0865 -.9 NY 3-0.000-0.0 0.536 3.0-0.0044-0.08 H 0 χ α ( ) = 0( =,,3) 8.35 0.039 α ( ) = 0(,,3) 47.0 0 3 = 5% : SH 9.95LD + 8.669NY 0. 996
Hasbrouck 985 0 Hasbrouck 0 64.46% 33.4%.%.78% 87.% 5.67% 78.0% 6.30% 0.39% 70.5% 9.36% 4.5% 78.64% 7.% 3.43% = 64.46%+5.67%+4.5% /3 63.36%(=(33.4%+78.0%+78.64%)/3) 5.%(=(.%+6.30%+7.%)/3) 0 Hasbrouck 998 005 6 00 0 0.78 87. 0 0.39 70.5 9.36 75.54.0 3.44 3.57 83.50.93.80 7.09 6. 3 70.86 5.63 3.5 3.8 8.8 3.90 3. 7.34 5.45 4 68.87 7.56 3.57 4.34 8.37 4.9 3.63 7.3 5.06 5 67.78 8.43 3.79 4.6 8.3 4.6 3.84 7.54 4.6 n 64.46 33.4. 5.67 78.0 6.30 4.5 78.64 7. 998 003 Hasbrouck
58.69% 37.9% 3.40%.83% 87.87% 3.8% 68.89% 7.30% 9.90% 70.73% 9.37%.33% 69.5% 9.4% 7.94% = 58.69%+3.8%+.33% /3 58.68%(=(37.9%+68.89%+69.9%)/3) 3.38%(=(3.40%+7.30%+9.4%)/3) Hasbrouck 998-003 ) 00 0 0.83 87.7 0 9.90 70.73 9.37 7.3 3.8 4.59.7 83.85 3.43.3 7.07 6.6 3 68.44 6.9 4.63.5 83.3 4.5. 7.96 5.9 4 65.66 9.67 4.67.40 8.63 4.97.04 73.37 5.58 5 64.3 3.6 4.70.4 8.48 5..03 73.3 5.66 n 58.69 37.9 3.40 3.8 68.89 7.30.33 69.5 9.4 004 005 6 Hasbrouck 7.% 3.4% 4.65% 4.53% 85.47% 8.64% 59.73%.6%.59% 69.0% 8.3% 3
.5% 64.49% 3.00% 4.% = 7.%+8.64%+.5% /3 49.%(=(3.4%+59.73%+64.49%)/3) 9.76%(=(4.65%+.6%+3.00%)/3) Hasbrouck 004-005 6 ) 00 0 0 4.53 85.47 0.59 69.0 8.3 80.39 8.0.5 7.45 79.88.66 7.43 67.3 5.5 3 74.30 3.80.90 9.5 76.45 4.03 9.08 65.4 5.50 4 73.84 4.09.07 0.88 74.07 5.06 0.30 63.89 5.8 5 73.59 3.78.63.04 7.5 5.44 0.8 63.85 5.33 n 7. 3.4 4.65 8.64 59.73.6.5 64.49 3.00 998 003 7.94% 58.68% 3.38% 004 005 6 4.% 49.% 9.76% 998 005 6 3.43% 63.36% 5.% 3 998 005 6 Granger 9 0 3 9 Z d 0.007 Granger 9 α ( ) 0 Z d -0.0035 Granger 0 α ( ) 3 3 4
3 Granger 998 005 6 SH LD NY C 0.0004.43 0.0003.09 0.0003 0.90 Z -0.000-0.83 0.007.85-0.0035 -.0 SH -0.066 -.04 0.5094 5.69 0.5407 4. SH SH LD LD LD NY NY NY 3 3 3 0.097 0.58 0.58 5.97 0.857 6.75-0.0089-0.7 0.036 0.94 0.0693.70 0.055 0.98-0.4759-8.39 0.0797.0 0.036 0.43-0.3386-5.8-0.005-0.30-0.00-0.05-0.808-3.79-0.0333-0.59-0.095-0.39 0.75 3.35-0.393-6.38-0.030-0.45 0.949 3.59-0.459 -.9 0.03 0.7 0.53 3.3-0.006-0. H 0 χ α ( ) = 0( =,,3) 48.83 0 α ( ) = 0(,,3) 08.74 0 3 = : SH 5.69LD + 4.6934NY 0. 9947 4 Hasbrouck 4 99.% 0.34% 0.55% 5
3.67% 67.33% 74.5% 3.6%.59% 37.56% 4.47% 9.97% 7.0% 4.53% 3.46% 8.76% = 99.%+74.5%+7.0% /3 6.04%(=(0.34%+3.6%+4.53%)/3).0%(=(0.55%+.59%+3.46%)/3) 4 Hasbrouck 998 005 6 00 0 0 3.67 67.33 0 37.56 4.47 9.97 99.90 0.06 0.04 54.5 44.86 0.99 54.69 3.07 3.4 3 99.89 0.06 0.05 6.4 37.37. 6.99 7. 0.88 4 99.85 0. 0.04 64.47 34.0.33 64.88 5.7 9.85 5 99.84 0. 0.04 66.6 3.58.6 66.35 4.49 9.6 n 99. 0.34 0.55 74.5 3.6.59 7.0 4.53 3.46 6
SHFE LME P = ln( O ) P = ln( C ) s, l, Rs = P P = ln( O ) ln( O ) Rl = P P = ln( C ) ln( C ),, C O EGARCH ps qs R = α + α R + β R + γ ( P P ) + ε s, s,0 s, s, s, j l, j s s, l, s, = j= pl ql 3 R = α + α R + β R + γ ( P P ) + ε l, l l, l, l, j s, + j l l, s, l, = j= εl, ε =, ε Ω ~ (0, H, ν) ε s, 4 H σl, ρσl, σ s, = ρσ l, σ s, σ s, 5 ε ε ε ln( σ ) ω ψ ( ( ) τ ) α ln( σ ) γ ln( ε ) p q,, n s f s f f s, = s+ s, f E + s, f + sr, s, r + s, λ l, λ f = σs, f σs, f σ f r= λ= 6 ε ε ε ln( σ ) ω ( ψ ( ) τ ) α ln( σ ) γ ln( ε ) p q,, n l f l f f l, = l+ l, f E + l, f + lr, l, r + l, λ s, + λ f = σl, f σl, f σ f r= λ= 7 εl, ε s, 3 Ω H ρ 5 7 Log T { l Θ } 8 L( Θ ) = ln ( ) = / T( v/)[ ( v )] v T[( + v) / ] ' ( + v)/ l ( Θ ) = H [ ± H ] 9 π ε ε 7
3 6 7 AIC 5 6 5 β 0.5776 3 β 0.3705 γ 5 SHFE LME SHFE LME α 0.005 4.97-0.0046 -.48 α -0.660 -.38-0.45-7.84 α -0.033 -.0-0.0399 -.35 β 0.5776 4. 0.3705. β 0.0860 4.37 0.048.97 γ -0.07-4.96-0.05 -.60 5% 6 EGARCH- γ 0.04 γ 0.030 6 SHFE LME EGARCH- SHFE 8 LME ω -0.4905-3.06-0.056 -. ψ 0.35 5.99 0.036.8 τ -0.06-0.53-0.0088-0.74 α 0.9408 56.60 0.9797 36.04 γ 0.04.8 0.030 3.
R 0.46 0.06 0. 0.7 607.45 545.5 D-W.99.99 AIC -6.97-6.06 F- 36.36 0.63 5% 998 003 7.94% 58.68% 3.38% 004 005 6 4.% 49.% 9.76% 998 005 6 3.43% 63.36% 5.% Booh, G. G., Brockman, P., and Tse, Y. (998): The Relaonshp beween US and Canadan Whea Fuures, Appled Fnancal Economcs, 8, 73-80. Booh, G. G., Lee, T. H., and Tse, Y. (996): Inernaonal Lnkages n he Nkke Sock Index Fuures Markes, Pacfc Basn Fnance Journal, 4, 59-76. 3 Chan, K. And Y. C. Chan.(993): Prce Volaly n he Hong Kong Sock Marke: A Tes of he Informaon and Tradng Nose Hypohess, Pacfc-Basn Fnance Journal,, 89-0. 4 Covrg, V., Dng, D., and Low, B.S.(004): The Conrbuon of a Saelle Marke o Prce Dscovery: Evdence from he Sngapore Exchange, Journal of Fuures Markes, 4(0), 98-004. 9
5 Fama, E.(965): The Behavor of Sock Marke Prces, Journal of Busness, 38, 34-05. 6 French, K. R. and Roll, R. (986): Sock Reurn Varances: The Arrval of Informaon and he Reacon of Traders, Journal of Fnancal Economcs, 7, 5-6. 7 Gang, S., and Bucher, B.(994): Prce Equlbrum and Transmsson n a Conrolled Economy: A Case Sudy of he Meal Exchange In Chna, Journal of Fuures Markes, 994, v4(8), 877-890. 8 Garbade,K.D.,and Slber,W.L.(979): Domnan and Saelle: A Sudy of Dually-raded Secures. Revew of Economcs and Sascs, 6, 455-460. 9 Harrs, F. H. deb., McInsh, T. H., Shoesmh, G. L., and Wood, R. A. (995): Conegraon, Error Correcon, and Prce Dscovery on Informaonally Lnked Secury Markes. Journal of Fnancal and Quanave Analyss, 30, 563 579. 0 Hasbrouck, J. (995): One Secury, Many Markes: Deermnng he Conrbuons o Prce Dscovery. Journal of Fnance, 50, 75 99. Johansen, S.(988): Sascal Analyss of Conegrang Vecors. Journal of Economc Dynamcs and Conrol,, 3-54. Johansen, S., Juselus, K.(990): Maxmum Lkelhood Esmaon and Inference on Conegraon wh Applcaons o he Demand for Money. Oxford Bullen of Economcs and Sascs, 5, 69 0. 3 Pallmann, N.(99): Marke Srucure and he Speed of Incorporang New Informaon no Secury Prces: Evdence from Germany, Workng Paper, New York Unversy. 4 Xu, X. E., Fung, H.G. (005): Cross-marke Lnkages beween U.S. and Japanese Precous Meals Fuures Tradng, Journal of Inernaonal Fnancal Markes, Insuons and Money, 5, 07-4. 5 004 4 Vol.3,No.3 6 003 4 7 SHFE LME 005 5 8 hp://www.safe.gov.cn Inernaonal Prcng of Copper n Shangha Fuures Markes Ren-ha Hua School of Fnance, Nanjng Unversy of Fnance and Economcs, Nanjng 0003 Qng-fu Lu (Insue for Fnancal Sudes, Fudan Unversy, Shangha 00433) Absrac : As an mporan raw and processed maeral n ndusry, he prce of copper has a close relaon wh he world economc crcumsance. In he nernaonal prcng process of he copper, he fuures markes plays a val par. Correspondngly, he prce of copper n he Shangha fuures marke has begun o drawn aenon from worldwde. In he presen research, he relaonshp beween prces of copper n he Shangha Fuures Exchange (SHFE) marke, 0
he London Meal Exchange (LME) marke and he New York Mercanle Exchange (NYMEX) marke and he spllovers of prce volaly n he copper are nvesgaed emprcally wh economercs. The resuls show ha he prce n he hree markes affecs each oher. The prce volaly can ransm from one o he oher wo markes and nfluence he prce volales of hose fuures markes. In general, LME sll plays a domnan role n he nernaonal prcng of he copper. In conras, he NYMEX has he weakes nfluence. The SHFE has become he second nernaonal prcng cener and s ncreasng nfluence shows ha wll play a more mporan role n he prcng of copper n he world. Key words Fuures marke; Informaon-lnked; Inernaonal prcng