Research Of Volatility Spillover Effect Between Domestic And Foreign Copper Futures Market

With the correlation between the financial markets increasing,the research on the volatility spillover of financial markets is becoming more and more important.As the Chinese influence expands in the commodities sector,the analysis of volatility spillover occurred between different markets will help us know the dynamic correlation of the domestic and international futures markets.As far as copper futures price is concerned,there are three major trading places: the London Metal Exchange(LME),the Commodity Exchange Division of the New York Mercantile Exchange(COMEX)and the Shanghai Futures Exchange(SHF).We choose the copper future to research and try to find the connection and difference among them.We consider using dynamic method to study the structural correlation between different markets and try to redefine the volatility spillover.Volatility spillover is a vector,whose size and the direction are unceasingly changing.In this article,Granger causality test is employed to analyze the direction of the vector volatility spillover.Then,taking the returns of high frequency sequence as study object of volatility spillover effect,variable structure Copula was established,and fluctuation spillover intensity was analyzed through the study of Copula function correlation coefficient.Finally,according to the correlation coefficient of the mutation points to identify and select the events,we try to grasp the impact of different major events on the strength of the volatility spillover between the market and the lead lag relationship.Based on the method above,the volatility spillover effect between different future markets is deeply analyzed in this article.The results showed that: There is a high level of correlation between mature markets,and the relevance of domestic and foreign markets has been substantially improved,which demonstrates China’s burgeoning global power in the commodities sector.According to the correlation coefficient of the mutation points to identify and select the events,we examined the volatility spillover effect between different future markets from different perspectives of major events occurring.As a result,we further clarify the change in the relevant structure of the different markets and the lead lag relationship when emergency events occur.