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
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