中国上海与英国伦敦商品期货价格的协整分析

本文以上海期货交易所与英国伦敦金属交易所(LME)为例，从实证的角度分析了中国期货市场与国际期货市场的关联度，对上海期货交易所铜期货收盘价与未平仓手数之间的协整关系作了分析．进一步发现上海期交易所铜期货价格与现货价格之问存在协整关系，从而说明期货价格与现货价格之间的收敛关系，证实了上海期货市场的有效性．

CONINTEGRATION ANALYSIS OF COMMODITY FUTURES PRICES IN SANGHAI, CHINA AND LONDON, UK

In this articls, we analysis the degress of association of Chinese commodity futures markets, with which we take the Sanghai Futures Exchange and the London Metal Exchange in United Kingdom as examples. We analysis the conintegration relation beteen the Close Price and Open Interest of copper futures in the Sanghai Futures Exchange. Furthermore, we find that there is a conintegration relation between the copper futures price and the copper spot price of Sanghai in China. Thereby, these findings have demonstrated the relation of convergence between the futures price and the spot price. In hence, these findings have also testified availability of Sanghai futures markets.