Empirical Analyze For The Determinants Of SHFE's Copper Futures Price

This article started with the theory of commodity futures price, consulted the SHFE's copper prompt sale handbook, discussed its characteristic and forming mechanism, analyzed the determinants of SHFE's copper futures price. Then this paper paid attention to carry on the empirical analyzes to the main factors. It mainly used the Co-integration and Granger-causality theory to do the statistic analyze on the date of SHFE's copper futures price, the spot price, futures price of LME, industrial production increase in value of our country and Crude oil price index, in order to find out the relationship between the SHFE's copper futures price and it's determinants. Moreover through the G-S and EC-GARCH analyzed on the SHFE's price discovery, futures basis and international pricing, we have a further study of the efficiency of the market.With steady development of the economy, China has developed into the largest country of the copper consumption, copper processing manufacturing base, the foundation product of copper exporting country. At the same time, Shanghai futures exchange (SHFE) becomes the second biggest copper futures market. In this context, the big volatility of the copper futures price in these years gave a great impact on the production and consumption. Therefore, the analysis of the determinants of SHFE's copper futures price and a clear understand of the rule of the price change would be very significant for us to avoid price risk and guarantee our country's economic develop in a healthy and stable way.Finally,it chose seven important determinants of SHFE's copper futures price (the spot price, 3-month copper futures price of LME, Chinese copper consumption , industrial production increase in value of our country , Stock of SHFE, American manufacturing index and exchange rate of dollar to euro)as the independent variable, built up the price forecasting stepwise regression model. It showed that the key determinants are the copper futures price of LME and the spot price of Shanghai. Meanwhile, for the depth understanding of these determinants' influence to the SHFE's copper futures price, this paper did factor analysis on the variables. The...