publication . Article . 2015

Information Linkages between Chinese and World Copper Futures Markets

Keqiang Hou; Luke Chan; Xin Zeng;
Open Access
  • Published: 01 Jan 2015 Journal: Frontiers of Economics in China, volume 10, issue 2 June, pages 272-300
Abstract
In this paper, we examine the price discovery process and volatility spillover effects in informationally linked futures markets. Using synchronous trading information from the Shanghai Futures Exchange (SHFE), the New York Mercantile Exchange (NYMEX), and the London Metal Exchange (LME) for copper futures from 2000 to 2012, we show that the cointegration relationships of these futures markets changed during 2006¨C2008. The results indicate that there is a bidirectional relationship in terms of price and volatility spillovers between the LME and NYMEX and the SHFE, with a stronger effect from the LME and NYMEX to the SHFE (versus the effect from the SHFE to the ...
Subjects
free text keywords: price discovery, return causality, volatility spillovers, jel:C1, jel:G1
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