Shanghai Futures Exchange Copper Futures Price Formation Mechanism Of The Empirical Analysis

The Statistics and the Basic Econometrics are mainly applied to analyze the SHFE copper futures and main influence factors from Jul 2000 to Jul 2003 in this text. First, the thesis describes the lasted futures price formation theories in the world and the SHFE copper futures price formation mechanism, and the result expresses the main influence factors include microscopic and macroscopic factors, such as the copper actual price, the LME copper futures price, and the GDP increasing rate in china. The next, the thesis make use of the Statistics method to analyze the SHFE copper futures and the main influence factors' trend in the period, and the result expresses the SHFE copper futures price and the copper actual price, the LME copper futures price, and the GDP increasing rate have the consistent trend basicly, and JB test expresses the SHFE copper futures, the copper actual price, the LME copper futures, the GDP increasing rate, all obey normality totally. Again, the thesis makes use of the R/S test to analyze the copper futures market's evidence, and the SHFE copper futures market comes short of the evidence in the period. Then, the thesis makes use of the Two-Variable regression and Granger test to analyze the SHFE copper futures price and the main influence factors, and the result describes that the main influence factors' influence mechanism and degree of affect. When the copper actual price changes one unit each, the copper futures price will change 0.9887 units. When the LME copper futures price changes one unit each, the futures price will change 9.2821 units. When the GDP increasing rate's reciprocalchanges one unit each, the futures price will change -25624.51 units. And only when the GDP increasing rate is over 1.31%, the futures price would soar. At the same time, the futures price and actual price, LME copper futures price and GDP increasing rate exist real time and lag relation. Finally, after the fore chapter analysis, the thesis makes use of regression analysis to analyze the copper futures price and the influence factors completely, becoming the SHFE copper futures price model, the result expresses the important influence factors of the copper futures price include the lag copper actual price, the instant LME copper futures price, and the lag copper futures price. The dependable degree of model is 97%.