Copper Price Discovery on the Shanghai Futures Exchange
Journal Title: Zarządzanie i Finanse - Year 2015, Vol 13, Issue 4
Abstract
We estimated a VECM VCC-MGARCH on the weekly sampled series of copper futures with the maturities ranging from 1 to 6 months called on the Shanghai Futures Exchange in the period January 2006-December 2014 to find out that they are co-integrated and symmetrically revert to their long run equilibrium relation. We also revealed the existence of Granger causality running in both directions within almost all pairs of maturities. More interestingly, after the collapse of the Lehman Bros Holdings Inc. in September 2008 we observed an increased conditional volatility of the returns on copper futures as well as a slight decrease of their conditional correlations.
Authors and Affiliations
Marta Chylińska, Paweł Miłobędzki
Keywords
Related Articles
- EP ID EP154066
- DOI -
- Views 65
- Downloads 0
Determinanty wynagrodzenia kadry zarządzającej bankami notowanymi na GPW w Polsce
Niewłaściwa polityka wynagradzania kadr zarządzających została zidentyfikowana jako jedna z istotnych przyczyn kryzysu finansowego. W artykule dokonano analizy czynników wpływających na kształtowanie wynagrodzeń zarządów...
Adaptive method in the allocation of maximum troubleshooting times of network failures
Failures are an important problem of any network. There are no trouble-free networks, and the primary challenge facing administrators and managers of any network is to minimize outages caused by failures. The aim of the...
Advantages of depreciation rate reduction in enterprise
Depreciation write-off is a significant element of cost policy in enterprises. Tax depreciation is a tool of tax optimization because it enables shaping costs on the desired level. Deprecation methods as well as de...
Why the coopetition is beneficial – case study
Electricity market is special against common being and scientific explored fields of the researches. This specificity is stemming from the product, which is the object of trade on it: electricity. It is characterized by...
The importance of credit ratings on corporate bond markets
The article attempts to assess the significance of credit ratings on the corporate bond markets. The discussion is based on the theoretical framework of credit-ratings and its importance for investors and corporate...