Relevance Analysis Between Chinese Aluminum Price and International Aluminum Price – A Case Study of SHFE and LME / 中國與國際鋁價之關聯性分析 - 以上海期貨交易所與倫敦金屬交易所資料為例

碩士 / 國立高雄應用科技大學 / 國際企業研究所 / 106 / Aluminum is one of the most important materials in the field of infrastructure, construction, and engineering. For studying the relationships of aluminum prices between Shanghai Futures Exchange(SHFE) and London Metal Exchange(LME), this study utilizes linear model of VAR, VECM, and Granger causality test to investigate the price transmission between different markets. The results show that futures prices and spot prices of LME are highly cointegrated under the significant level of 1%, while others variance combinations are not cointegrated. In addition, the results of the Granger causality test indicate that not only futures prices and spot prices of LME are one-way influence on the prices of SHFE, but also futures prices of LME have a mutual impact on spot prices of itself. In general, LME still plays a dominant role in the international pricing market in spite of the rising impact by China’s aluminum markets.

Identiferoai:union.ndltd.org:TW/106KUAS0320003
Date January 2018
CreatorsCHUNG, MING-FENG, 鐘明峰
ContributorsLEE, JEN-YAO, 李仁耀
Source SetsNational Digital Library of Theses and Dissertations in Taiwan
Languagezh-TW
Detected LanguageEnglish
Type學位論文 ; thesis
Format75

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