A Study of the Impact of Copper Futures Price Volatility on the Pricing of Shanghai Copper Futures in China

YAN Jie; JIANG Zhong-he; LU Xiao-guang

doi:10.3969/j.issn.1671-9247.2018.01.007

Journal of Anhui University of Technology（Social Sciences） > 2018 > 35(1): 27-30. > DOI: 10.3969/j.issn.1671-9247.2018.01.007

YAN Jie, JIANG Zhong-he, LU Xiao-guang. A Study of the Impact of Copper Futures Price Volatility on the Pricing of Shanghai Copper Futures in China[J]. Journal of Anhui University of Technology（Social Sciences）, 2018, 35(1): 27-30. DOI: 10.3969/j.issn.1671-9247.2018.01.007

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A Study of the Impact of Copper Futures Price Volatility on the Pricing of Shanghai Copper Futures in China

1. Department of Economics and Management, Hohai University Wen Tian College, Ma'anshan 243031, Anhui;
2. School of business, Hohai University, Nanjing 210098, Jiangsu, China

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Received Date: December 14, 2017
Available Online: September 26, 2022
Published Date: February 27, 2018

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Based on Futures Pricing Theory, co-integration theory and GARCH models which reflect the price of copper futures continuous contract, copper futures continuous contract price GRACH sequences which reflect Shanghai copper futures market price volatility, the Yangtze river nonferrous copper spot price GARCH series that reflect the copper spot market price volatility, and the Yangtze river nonferrous copper spot price that reflect the copper spot price level in our country. Results show that the volatility of futures price of the same or a related commodity is an important factor for the formation of Shanghai copper futures in our country. And copper spot price also plays an important role in the tendency of Shanghai copper futures prices in our country.
- Shanghai copper futures,
- volatility,
- the futures pricing theory,
- GARCH model

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A Study of the Impact of Copper Futures Price Volatility on the Pricing of Shanghai Copper Futures in China

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