Risk Spillover And Volatility Effect Of Copper Futures In China And UK

Due to the increasing degree of global economic integration,the economic systems of various countries and regions are more and more frequently linked with each other.At present,because the London and Shanghai exchanges belong to the world's largest futures exchanges,the Risk Spillover between the two markets is particularly noteworthy.Therefore,it is very important to analyze the Risk Spillover and volatility between the two markets in theory and practice.Although there are many contents about the two markets in the economic field,most of them are about the price discovery function of the same futures in the two markets,and there are few literatures about risk spillover.As the second largest copper futures exchange in the world,Shanghai Futures Exchange has gradually increased its international influence.Based on the daily closing price data from January 4,2012 to December 30,2020,this paper analyzes the Risk Spillover and volatility of copper futures between China and the UK futures market.The first chapter describes the significance of this study,the selected model and literature review at home and abroad.The second chapter elaborates the theoretical concept of the research object and the derivation process of the model used.Theoretical models include copula model and beek-garch model.Concept analysis includes the characteristics of futures market,risk spillover theory and causes.The third chapter mainly analyzes and describes the development process and current situation of Chinese and British copper futures market.It is known that the trading volume and amount of Chinese and British copper futures will be affected by government decision-making and copper spot market.The fourth chapter is the first descriptive analysis and normality test to analyze whether the selected data is normal distribution.Then,the empirical distribution function of the two markets and the image of kernel distribution estimation are made to confirm the edge distribution.Then,three methods of judging linear correlation,rank correlation and square Euclidean distance are used to find out the more appropriate copula function.The copula function is used to calculate the conditional value at risk(CVa R).The unconditional value at risk(Va R)is calculated by using the beek-garch model.Finally,according to the analysis of the calculated results,it is found that if the risk spillover effect is not considered,the risk will be seriously underestimated.There are two-way and positive Risk Spillover Effects between Chinese and British copper futures markets.The fifth chapter mainly makes a simple summary of the research content of the paper,and gives relevant suggestions and policies according to the conclusion,and further points out the shortcomings of the paper,and points out the possible future research direction.