Study On The Co-movement And Volatility Of Metal Future Markets At Home And Aboard

Since 2007 the outbreak of United States subprime mortgage crisis led to a huge global economic slowdown and the main economy response the crisis with loose monetary policy causing a great global excess liquidity.The price of commodities future which is determined by US dollar is dramatic ups and downs.The more close economy relationship between China and the world, the more the deeper the interaction of mental future market at home and aboard.China as the 2nd largest metal future market has no right to price instead of being in charge of the market.This text focusing on the co-movement and volatility of metal future markets of SHFH and LME with reference and analysis from previous study of the co-movement and volatility of metal future markets which either stress on open or pay attention to price guide is based on theory of market efficiency and pricing method of metal future and gives the policy and recommendation.The point of innovation of the paper is not only based on new theory of market efficiency and pricing method of metal future which is different from previous ones but also using the authority econometrics methods such as Johnson cointegration test Granger causality test VD IRF GARCH GARCH-M model concluding to show that the two market interact more closely and China has advantages on pricing after financial crisis.