[1]华 金 秋.金属铜期货与现货价格关系研究[J].深圳大学学报理工版,2007,24(3):317-321.
 HUA Jin-qiu.Empirical research of the relationship between copper futures price and spot price[J].Journal of Shenzhen University Science and Engineering,2007,24(3):317-321.
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金属铜期货与现货价格关系研究()
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《深圳大学学报理工版》[ISSN:1000-2618/CN:44-1401/N]

卷:
第24卷
期数:
2007年3期
页码:
317-321
栏目:
生命科学
出版日期:
2007-07-30

文章信息/Info

Title:
Empirical research of the relationship between copper futures price and spot price
文章编号:
1000-2618(2007)03-0317-05
作者:
华 金 秋
深圳大学管理学院,深圳 518060
Author(s):
HUA Jin-qiu
College of Management,Shenzhen University,Shenzhen 518060,P.R. China
关键词:
现货价格期货价格 格兰杰因果检验协整理论
Keywords:
spot pricefutures priceGranger CaFpngerusality testcointegration theory
分类号:
F 830.92
文献标志码:
A
摘要:
利用协整理论考察实物商品现货价格与期货价格之间是否存在长期稳定关系.以金属铜为例,对2002-2006年伦敦金属交易所(LME)的铜现货价格与期铜价格日数据进行协整分析,研究表明,两者的对数时间序列是非平稳的,并存在协整关系.
Abstract:
Based on the cointegration theory,this paper uses the daily data of LME from 2002 to 2006 to analyze whether there is long-term and stable relations between copper futures price and spot price. Results show that spot price is futures price sensitive,the time series data of the logarithm for copper futures price and spot price are the non-stationnary time series.

参考文献/References:

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[2]Ghosh A.协整与误差修正模型:指数和期货价格间内在的因果关系[J]. 期货市场杂志,1993,13(2):193-198(英文版).
[3]Fortenbery T R,Zapata? H O.探讨Cheddar奶酪期货和现货价格之间的联系[J]. 期货市场杂志,1997(17):279- 301(英文版).
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[2]Ghosh A. Cointegration and error correction models:intertemporal causality between index and futures prices[J].? Journal of Futures Markets,1993,13(2):193-198.
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更新日期/Last Update: 2007-12-07