The Empirical Study on Determinants of SHFE Copper Futures Price and LME Copper Futures Price: Statistical and Economic Perspective

Wang, Tianyu (2012) The Empirical Study on Determinants of SHFE Copper Futures Price and LME Copper Futures Price: Statistical and Economic Perspective. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

This research examines the determinant factors behind the volatility of LME copper futures price and SHFE copper futures price. This research aims at investigating which factors has much significant influence on SHFE and LME copper futures market, what differences between SHFE futures market and LME futures market, and what deeper economic meaning for investment and China national economy on the result of investigation. Based on monthly data from 2006 to 2012, three time series analysis include unit root test, co-integration test, Granger-causality test to initially check the features of time series data. And running multiple regression analysis on the variables; Chinese industrial gross value added, UK and China CPI, China PMI, LME warehouse stocks, LME and SHFE spot price, USDX, MYMEX crude oil price, and LME copper futures price for SHFE’s model, vice versa. The result indicate that the futures market factors like spot price and stocks are most significant factor of copper futures pricing, macroeconomic factors also has a certain of degree influence. And both of LME and SHFE futures market are mature markets though the SHFE market has a gap with LME market on price discovery function and international pricing ability. With the fast economic growth in China, the factors relating with China industry development also increase the influence on the global copper futures price. The paper would discuss these economic meanings in detail combining with the statistical results.

Key words: copper futures, determinants, Granger-causality test, multiple variables regression, China’s economic growth.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 08 Apr 2013 11:53
Last Modified: 25 Oct 2016 22:52
URI: http://eprints.nottingham.ac.uk/id/eprint/25910

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