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.
| Identifer | oai:union.ndltd.org:TW/106KUAS0320003 |
| Date | January 2018 |
| Creators | CHUNG, MING-FENG, 鐘明峰 |
| Contributors | LEE, JEN-YAO, 李仁耀 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 75 |
Page generated in 0.0016 seconds