期刊名称：International Journal of Business and Management
印刷版ISSN：1833-3850
电子版ISSN：1833-8119
出版年度：2008
卷号：3
期号：5
页码：50
DOI：10.5539/ijbm.v3n5p50
出版社：Canadian Center of Science and Education
摘要：This paper studies the dynamic relationship among futures price, spot price of Shanghai metal and futures price of London with the co-integration theory, Granger causality tests, residue analysis, impulse responses function, and variance decomposition on the VECM. The study shows the three have the long equilibrium relationship: the copper futures price of Shanghai have internalities to the futures of London; the aluminum futures price have externalities; the three have different price discovery functions.
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