Price linkages in the copper futures, primary, and scrap markets
Price linkages in the copper futures, primary, and scrap markets
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DOI：
10.1016/j.resconrec.2011.08.010
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发表时间：
2011-08
期刊：
影响因子：
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通讯作者：
Kentaka Aruga;Shunsuke Managi
中科院分区：
文献类型：
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作者：
Kentaka Aruga;Shunsuke Managi
这项研究通过测试铜期货、初级铜、废铜和黄铜废料市场之间的长期价格联系和因果关系，调查了不同级别铜纯度的市场是如何相互关联的。预计与高纯度水平打交道的铜市场，如期货、初级和废铜市场，都有长期的合作关系。然而，交易纯度较低的铜的黄铜废料市场可能与其他铜市场没有价格联系。结果显示，期货市场、初级市场和废铜市场之间存在长期关系，但废铜市场与其他市场之间没有长期关系。从短期和长期的因果关系检验中，我们确定期货市场在向其他铜市场传递价格信息方面发挥了重要作用，而黄铜废料市场则没有发现这种信息流。
This study investigates how markets for different levels of copper purity are interrelated by testing the long-run price linkage and causalities among the copper futures, primary, copper scrap, and brass scrap markets. It is expected that copper markets that deal with high purity levels, such as the futures, primary, and copper scrap markets, have a long-run relationship. However, brass scrap markets where copper with a lower purity is traded may not have a price linkage with other copper markets. The results reveal that a long-run relationship holds between the futures, primary, and copper scrap markets but the brass scrap market does not have a long-run relationship with the other markets. From the short-run and long-run causality tests, we determine that the futures market plays an important role in transmitting price information to other copper markets while such information flow is not found for the brass scrap market.