The Empirical Study on Determinants of SHFE Copper Futures Price and LME Copper Futures Price: Statistical and Economic Perspective
This research examines the determinant factors behind the volatility of LME copper futures price and SHFE copper futures price. This research aims at investigating which factors has much significant influence on SHFE and LME copper futures market, what differences between SHFE futures market and LME...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | https://eprints.nottingham.ac.uk/25910/ |
| _version_ | 1848793077032943616 |
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| author | Wang, Tianyu |
| author_facet | Wang, Tianyu |
| author_sort | Wang, Tianyu |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This research examines the determinant factors behind the volatility of LME copper futures price and SHFE copper futures price. This research aims at investigating which factors has much significant influence on SHFE and LME copper futures market, what differences between SHFE futures market and LME futures market, and what deeper economic meaning for investment and China national economy on the result of investigation. Based on monthly data from 2006 to 2012, three time series analysis include unit root test, co-integration test, Granger-causality test to initially check the features of time series data. And running multiple regression analysis on the variables; Chinese industrial gross value added, UK and China CPI, China PMI, LME warehouse stocks, LME and SHFE spot price, USDX, MYMEX crude oil price, and LME copper futures price for SHFE’s model, vice versa. The result indicate that the futures market factors like spot price and stocks are most significant factor of copper futures pricing, macroeconomic factors also has a certain of degree influence. And both of LME and SHFE futures market are mature markets though the SHFE market has a gap with LME market on price discovery function and international pricing ability. With the fast economic growth in China, the factors relating with China industry development also increase the influence on the global copper futures price. The paper would discuss these economic meanings in detail combining with the statistical results.
Key words: copper futures, determinants, Granger-causality test, multiple variables regression, China’s economic growth. |
| first_indexed | 2025-11-14T18:54:33Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25910 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:54:33Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-259102017-10-19T13:11:55Z https://eprints.nottingham.ac.uk/25910/ The Empirical Study on Determinants of SHFE Copper Futures Price and LME Copper Futures Price: Statistical and Economic Perspective Wang, Tianyu This research examines the determinant factors behind the volatility of LME copper futures price and SHFE copper futures price. This research aims at investigating which factors has much significant influence on SHFE and LME copper futures market, what differences between SHFE futures market and LME futures market, and what deeper economic meaning for investment and China national economy on the result of investigation. Based on monthly data from 2006 to 2012, three time series analysis include unit root test, co-integration test, Granger-causality test to initially check the features of time series data. And running multiple regression analysis on the variables; Chinese industrial gross value added, UK and China CPI, China PMI, LME warehouse stocks, LME and SHFE spot price, USDX, MYMEX crude oil price, and LME copper futures price for SHFE’s model, vice versa. The result indicate that the futures market factors like spot price and stocks are most significant factor of copper futures pricing, macroeconomic factors also has a certain of degree influence. And both of LME and SHFE futures market are mature markets though the SHFE market has a gap with LME market on price discovery function and international pricing ability. With the fast economic growth in China, the factors relating with China industry development also increase the influence on the global copper futures price. The paper would discuss these economic meanings in detail combining with the statistical results. Key words: copper futures, determinants, Granger-causality test, multiple variables regression, China’s economic growth. 2012-09-20 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25910/1/Dissertation.pdf Wang, Tianyu (2012) The Empirical Study on Determinants of SHFE Copper Futures Price and LME Copper Futures Price: Statistical and Economic Perspective. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Wang, Tianyu The Empirical Study on Determinants of SHFE Copper Futures Price and LME Copper Futures Price: Statistical and Economic Perspective |
| title | The Empirical Study on Determinants of SHFE Copper Futures Price and LME Copper Futures Price: Statistical and Economic Perspective |
| title_full | The Empirical Study on Determinants of SHFE Copper Futures Price and LME Copper Futures Price: Statistical and Economic Perspective |
| title_fullStr | The Empirical Study on Determinants of SHFE Copper Futures Price and LME Copper Futures Price: Statistical and Economic Perspective |
| title_full_unstemmed | The Empirical Study on Determinants of SHFE Copper Futures Price and LME Copper Futures Price: Statistical and Economic Perspective |
| title_short | The Empirical Study on Determinants of SHFE Copper Futures Price and LME Copper Futures Price: Statistical and Economic Perspective |
| title_sort | empirical study on determinants of shfe copper futures price and lme copper futures price: statistical and economic perspective |
| url | https://eprints.nottingham.ac.uk/25910/ |