An Empirical Study of International Linkages of the Shanghai Copper Futures Market

Zehai Li and Lawrence Huiyan Zhang

Chinese Economy, 2013, vol. 46, issue 3, 61-74

Abstract: This article analyzes the causal relationships of copper futures on the Shanghai Futures Exchange, the London Metal Exchange, the Chicago Mercantile Exchange and the Multi Commodity Exchange of India. The structural vector autoregression model is used to reflect on both short-run and long-run impacts on these four futures markets. There are two main conclusions. First, the Chicago Mercantile Exchange and the Multi Commodity Exchange of India have a relatively weaker influence on the international copper markets, more like the shadow markets of the London Metal Exchage. Second, the price impact of Shanghai Futures Exchange copper on London Metal Exchange copper has been increasing since 2007, while the impact of London Metal Exchange copper on Shanghai Futures Exchange copper has been decreasing.

Date: 2013
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