A Study On The Price Discovery Function Of Copper Futures Between SHFE And LME Market

In recent years,with the global economic turmoil and the financial attributes of commodities increased,copper price changes have been increasing.Through empirical analysis of test and comparative analysis of copper futures discovery ability,the paper discusses the focus of commodity financial properties.Through further analysis of copper futures in the Shanghai Futures Exchange(SHFE)and London Metal Exchange(LME)and their international pricing capacity to speculate the reasons for recent copper futures market price fluctuations.This paper selects the latest data and uses VAR model,Johansen cointegration test and Granger causality test to verify whether there is a long-term cointegration relationship between London copper futures,London copper price,Shanghai copper futures and Changjiang copper price and the price relationship between the four markets and compare the price discovery ability of copper price in the spot and future market.On this basis,the GARCH model is used to discuss the correlation between SHFE and LME copper futures market,and the fluctuation spillover effect and mutual influence degree.The paper chooses four market price volatility as the research object and studies the relationship between the fluctuation spillover effect and the information transmission process between the four markets.The research results in this paper is learned from people who are participant in market participation,futures market policy formulation and copper international pricing power research.