Price discovery for copper futures in informationally linked markets

Xindan Li and Bing Zhang

Applied Economics Letters, 2009, vol. 16, issue 15, 1555-1558

Abstract: The purpose of this article is to contribute to the research on informationally linked markets by investigating the relationships between the Chinese copper futures market and its London counterparts. There is a long run relationship between the Shanghai Futures Exchanges (SFE) with London Metals Exchange (LME) copper futures prices. Furthermore, we find that three regime Markov switching model with changing intercept and variance turns out to be good description of the data. The influence of LME on SFE is bigger than that of SFE on LME.

Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:16:y:2009:i:15:p:1555-1558

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850701578801

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().