The Study Of The Liquidity Spillover Effect Between Futures Copper And Spots Copper Market

The 1998 Asian financial crisis and the 2008 global financial crisis,because of the lack of liquidity,the economy of many countries not only fell like dominoes,but also it brought great challenges and tests to the emerging economy of China.Liquidity risk has become a common problem for the world needs solving,it is an important component content in ”Basel?”.under this background,this paper selects varieties of copper futures and copper spots that are important in the world market to study the liquidity spillover effect.The study not only can help the future market implement the basic functions like hedging,price discovery and so on.But also can help the future market investors to formulate and implement the deal-making and production planning.For financial market stability and efficient operation,its theoretical significance and application value are important.The liquidity spillover effects of between copper futures market and copper spots market can be divided into two categories,one is for the horizontal spillover effect,the other is for risk spillover effect.The thesis analyzes the formation mechanism of the liquidity spillover effect between the spot market and the futures market,based on the cost of the transmission mechanism,information transfer effect mechanisms,linkage effects mechanism,and capital flow effects mechanism of four aspects.The thesis build the liquidity measure which conforms the liquidity four-dimensional theory,and takes the DCC-MVGARCH-VAR Model to analyze liquidity spillover effect between the copper futures market and the copper spot market.The research shows that:(1)The copper futures and the copper spots of liquidity are stable,with significant fluctuation and assembling feature and no leverage.that is,the emergence of large-scale capital greatly impacts the liquidity of copper futures and copper spots,but the impact of positive and negative shocks is no difference;(2)The greater liquidity of Copper futures,the greater of liquidity copper pots,such impact is long and lag.The copper spots of liquidity changes are likely to cause fluctuations in copper futures of liquidity to the opposite direction,such impact is short and sensitive;(3)The liquidity horizontal spillover effect between copper futures and copper spots market is less interactive.It means that copper futures price is determined by the price of copper spots price;(4)The copper spotsliquidity is very sensitive to the new information,while the absolve of copper futures liquidity to the new information is faster.A significant negative liquidity spillover risk effects exist between copper futures and copper spots.The liquidity spillover risk effects between copper futures and copper spots can more easily occur during the period of crisis.We can give the following policy recommendations according to the studies above.The quality of supervision must be constantly improved,and the regulatory environment must be improved continuously.Besides,the formulation and implementation Futures Act must be promoted,the monitoring system of short-term speculative capital flows must be established,promote the opening up of the futures market;Improve the information disclosure system between the futures market and the spot market;Develop the institutional investors,encourage hedging transactions and support the investor education.