Bubble Measurement And Characteristic Analysis Of International Metal Futures Prices In The Post Financial Crisis Era

Since the financial crisis happened in 2008,the world's economy has entered a relatively stable stage.From the deficiencies revealed in the financial industry,it can be seen that a serious deviation from the real economy and the development of self-service for the financial industry will cause huge risks for the entire economic system.The cause of problems has not been eliminated or completely resolved after the crisis.Especially,the resource-based financial products are often exposed to face bubble risks.The consumption of non-ferrous metals such like copper and zinc in China ranks first in the world.On the other hand,copper and zinc have been widely used in both power industries and industrial manufacturing,which have significant influences on the social and economic development.However,during the post-crisis period that began in 2010,the metal futures market experienced another huge volatility.Due to it,the world's financial situation greatly changed in2015,such as the "strong U.S.dollar" and the "referendum to the European Union," have caused the prices of the metal futures market to rise and fall sharply.In this paper,Shanghai Copper and Shanghai Zinc,London Copper and London Zinc are selected to compare the existence of financial bubbles in the metal futures market under the background of international changes.First of all,through the descriptive statistics of the selected four groups of objects,it was found that the price-earnings rates of Shanghai Copper and Shanghai Zinc exhibited the right-tailed peaks and thick tails.Moreover,the price-earnings rates of London Copper and London Zinc present left-tailed peaks and thick tails.All of the four selected objects change beyond the normal distribution.Then,the log-periodic power-law model which belongs to the modern financial physics is adopted to fit the samples in different time stages.It is found that there are obvious bubbles in the four metal futures markets at home and abroad in different time periods.Furthermore,the model has a higher accuracy in the fitting of the Shanghai copper.There are different degrees of bubbles from November 2015 to November 2016 in Shanghai Copper,Shanghai Zinc,London Copper and London zinc.In order to analyze the bubbles' characteristics in domestic and foreign metal futures markets under the complex international environment around 2016,this article focuses on the analysis of the bubbles of the domestic and foreign copper and zinc futures markets from November 23,2015 to November 29,2016.According to the ARCH model test,the domestic copper futures market has a more serious bubble.In addition,the copper futures market has a stronger leverage effect than which in the zinc futures market.The impact of positive news has strengthened the fluctuation of copper prices.This is also the reason that the bubble in the copper futures market grew faster than the zinc futures market.At the same time,it is found that the domestic copper futures bubble lasts longer than which in the foreign copper futures bubble.Finally,this paper gives corresponding policies and investment suggestions based on the empirical results:(1)China should strengthen the supervision of Shanghai copper and Shanghai zinc futures markets.Due to the fact that there are still serious bubbles in domestic copper and zinc future markets,the popularization of professional knowledge is necessary to help the stakeholders in this market get a better understanding of the metal futures market.By doing so,the bubble crisis caused by the drastic fluctuations can be avoided because of the rational trading behaviors among the stakeholders.(2)Reduce the leverage effect of copper futures to slow down the growth of the bubble,so that there is sufficient time for the government to take effective measures before the burst.(3)Shorter time increases the risk of position,making the duration of bubble impact in the domestic market longer than which in overseas markets.Therefore,the government should extend the time of domestic metal futures trading and set up the over-the-counter(OTC).The inadequacy of this paper is to study only the bubble risk and bubble characteristics of domestic and foreign copper and zinc metal futures price varieties.In the future,more precious metal and non-ferrous metal foam risks will be explored,trying to analyze the world's metal futures market.In addition,the parameters a and w in the LPPL model are important indicators in the bubbles.With the following studies,the time period in which the bubble is presented will be further fitted by the sub-periodic LPPL model,trying to make detailed observation to the acceleration and fluctuation frequency in the bubbles.