A Study on Risk Spillover Effect of Copper Futures Between LME and SHFE
|School||Zhejiang University of Finance|
|Keywords||Risk overflow Copper Futures Value at Risk (VaR) Impulse response analysis Granger causality test|
Great atmosphere in the globalized market is gradually taking shape, getting stronger relationship between the different national financial system, China's futures market has become more sophisticated, the Shanghai Futures Exchange (SHFE) copper market has also become a global copper demand-side pricing center, and the correlation between the London Metal Exchange (LME). The outbreak of the global financial crisis makes academia, industry, regulators and all market participants to increase the degree of attention of the the copper market risk fluctuations, but also to study situations of crisis, the Shanghai Futures Exchange and the London Metal Exchange and Shenzhen copper market between the risk of spillover effects provides an opportunity. In this paper, on the basis of the above background, as well as the results of previous studies, first, with the EGARCH model to estimate the two cities the copper three common confidence level for the entire decade from 2000 to 2009 between LME and SHFE bear market risk value (VaR), and two cities VaR value correlation for further analysis. Then the value of the two cities VaR focus research and analysis the cities of risk spillovers. The data confirmed that the copper market between the two cities each confidence strong correlation exists between the level of short VaR value, that is, the presence of risk correlation between LME and SHFE the two cities Copper market be sure. The paper combines different conditions of the fluctuations of the economic situation in the entire decade of the sample period is divided into three sub-samples of the empirical analysis of the two cities between the copper market risk spillover. Including using Granger causality test the legal tests described in the two cities bear market risk overflow Granger relationship test between the LME copper market SHFE copper futures market risk overflow direction; then short VaR value based on the different samples during the period between the two cities stationarity and cointegration different characteristics of the data sequence from no constraint vector starting to do the impulse response of a simple quantitative risk of different samples during the confidence level of the two cities under copper overflow process since the regression model constrained vector autoregressive model Analysis. The research results show that, during the entire study sample, the LME and SHFE the two cities Copper multi bear market risk Granger cause each other before and after the global financial crisis, LME copper multi-bear market risk unidirectional SHFE copper multi-bear market risk Granger reason; impulse response analysis shows that the LME and SHFE copper futures market before and after the financial crisis to face each other risk overflow mainly radiate a positive decreasing impulse response, which also appeared in other sample intervals are not negative impulse response, the entire study sample period risk spillover between LME and SHFE copper futures market are mainly positive incremental reaction. Moreover, the results also show that the reform of China's exchange rate regime does not affect the overall nature of the risk of overflow relations between the LME and SHFE the two cities Copper market. This paper studies the performance of innovation in the beginning of 2000 to the end of 2009, the entire decade between the latest LME and SHFE the two cities Copper trading data for the study of data support; facing fundamental reform of China's exchange rate regime in the entire decade of the study period, the study The global financial crisis these predecessors did not encounter a complex environment; compared to their predecessors mostly starting from the price and yield data to study the relevance of the LME and SHFE the two cities Copper market the departure from value of cities Copper VaR study two City the copper market risk relationship. According to the research ideas, the papers main frame is as follows: Chapter Preface Introduction section. The first introduces the research background and significance of the topic, and then do a simple overview of domestic and foreign research literature and describes the thesis research ideas and structural arrangements, pointed out that the main innovation of the paper and the research methods. The second chapter introduces the copper market risk measurement methods and the choice of research data, and the two cities the data do preliminary processing. Also a brief description of the micro and macro aspects of the supply and demand factors affecting the copper market. The third chapter of the LME and SHFE copper market related degree to do the test, to do the inspection, including GARCH class model test selection, the two cities VaR value relevance of the EGARCH model-based estimate of the two cities VaR values inspection of the correlation between the estimates and the two cities VaR. Chapter LME and SHFE the two cities Copper risk spillovers empirical analysis. Granger causality test method and pulse in response to the direction of the overflow of the analysis of the two cities risk and overflow process affect the analysis. Chapter main contents of the thesis to be a simple summary, and further pointed out the inadequacies of thesis research, pointed out that the follow-up of possible research directions.