Information Overflow from Futures and Spot Markets to Underlying Assets—An empirical analysis based on China copper industry

摘要

This paper examines relationship between Shanghai Commodity Exchange,London Metal Exchange's copper futures index ,the copper spot index in China and China copper stock price based on vector autoregressivc model,vector error correction model,impulse response and variance decomposition method.The results show that there is a long-term equilibrium relationship between the price of copper futures,spot market and stock prices.The price information spillover effect is obvious in China's copper markets and current and one day lagged futures price changes could be helpful to predict the changes of the stock price.