Empirical Research of SHFE Cu Futures Market’S Function and International Impact on SVAR Model
Empirical Research of SHFE Cu Futures Market’S Function and International Impact on SVAR Model
Author：Zhang Yishan, Huang Kun, Zhao Jiguang Journal：Systems Engineering-Theory & Practice Date：2006(9)
Keywords Futures Market; Risk Elusion; Price Finding; SVAR model
Abstract
Whether our futures market has the function of risk elusion and price finding is argued for many years. Our research finds that the SHFE Cu Futures Markets has these two basic functions already. By using the SVAR model, impulse response function and variance decomposition technique we make the quantitative description of SHFE Cu market. We conclude that LME market is better than SHFE market both on the response of new innovation an d the international impact.
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