Empirical Research On Abstraction Of Bubbles In Chinese Metal Futures Price And Its Causes

With complicated international economic situation and overflowing liquidity globally, the financialization level of copper and aluminum is becoming more and more significant and commodity prices mainly depend on financial department other than real economy. An essential impact of financialization on prices of commodity prices is huge volatility and bubble composition is raising up day by day. Bubbles would increase risks of futures market and metal prices in China. Those risks could be a large threaten to relative industrial sector and might be an obstacle to steady economy development.In the thesis, literature on bubbles of commodity prices is collected and analyzed and some research and theory of bubbles is introduced. Based on those information, formation mechanism of metal prices and factors which would influence metal prices is lectured. By establishing Vector Error Correct model, bubbles of SHFE Cu and SHFE Al are abstracted. Based on these bubble series, then, statistical and fluctuation features are dissected. The following conclusions could be reached: bubble series of SHFE Cu and SHFE Al are not normal distributed and they both have an obvious peak and fat tails. At the same time, both SHFE Cu and SHFE Al bubble series is not self-correlative and which means current bubble part is not influenced by prophase and they are independent. Meanwhile trend of SHFE Cu and SHFE Al bubble series is respectively resemble the price series. Empirical mode decomposition technique is also utilized in the paper. Bubble series of SHFE Cu and SHFE Al is decomposed into several IMFs and a residual. The IMFs are reconstructed into components with different frequency and periods. According to these components, causes of bubble is analyzed. The empirical results show that short-term imbalance of the market and irregular events are key reason for metal prices bubble. Important and major events are the second cause of bubble which do not happen very often but have great impact on bubble. Long-term tendency could barely cause bubble.