Is the Shanghai Copper Futures Market Still theShadow Market of London Copper Futures Market？

Abstract

Abstract:

The futures markets in other regions are like the shadow markets of futures markets in the developed areas. This paper takes subprime mortgage crisis as the time boundary and divides the samples into four sub-periods. In each sub-period, we choose the best Copula function, test the goodness of fit of the Copula function, and introduce CoVaR. This paper employs the Copula-CoVaR model to examine the risk spillover relationship between the copper future markets of London (LME) and Shanghai, and judges whether the copper futures market in Shanghai is still the shadow market of the copper futures market in London. Empirical results show that London copper and Shanghai copper futures markets have a positive mutual spillover effects. And to some extent, the copper futures market in Shanghai is not the shadow market.

Key words: Risk Spillover, Shadow Market, Copper Futures, Copula-CoVaR, SHFE, LME

摘要：

期货价格波动往往从发达地区期货市场向其他地区期货市场传导,使得其他地区的期货市场类似于发达地区期货市场的影子市场。本文以次贷危机发生时间为界将整个检验周期分为四个子阶段,以伦铜连三和沪铜连三的收盘价数据为研究对象,分别选择各子周期最优Copula函数计算相关风险度量指标CoVaR,通过运用Copula-CoVaR模型来检验伦铜(LME)和沪铜(SHFE)期货市场之间的风险溢出关系,从而判断沪铜期货市场是否仍然是伦铜期货市场的影子市场。实证结果表明,伦铜和沪铜期货市场之间存在着积极的相互溢出效应,次贷危机后上海铜期货市场已经在一定程度上脱离了影子市场的范畴。

关键词: 风险溢出, 影子市场, 铜期货, Copula-CoVaR, SHFE, LME

CLC Number:

F830

LIU Jianhe, WANG Yong, WANG Yubin. Is the Shanghai Copper Futures Market Still theShadow Market of London Copper Futures Market？[J]. , 2018, 34(4): 56-65.

刘建和, 王勇, 王玉斌. 沪铜期货还是伦铜期货的影子市场吗？[J]. 财经论丛, 2018, 34(4): 56-65.

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