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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
Citation: 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

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

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