| LME与SHFE期铜价格引导关系实证研究 |
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| 引用本文： | 蒋序标,周志明.LME与SHFE期铜价格引导关系实证研究[J].系统工程,2004,22(9):66-68. |
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| 作者姓名： | 蒋序标 周志明 |
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| 作者单位： | 上海交通大学,管理学院,上海,200052 |
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| 摘 要： | 介绍Granger引导关系模型，并利用这个模型对伦敦金属交易所(LME)三个月期铜和上海期货交易所(SHFE)五个月期铜进行了价格引导关系检验。检验结果显示，伦敦金属交易所三个月期铜价格滞后引导上海期货交易所五个月期铜价格，但是上海期货交易所对伦敦金属交易所的期铜价格不具有滞后价格引导关系。
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| 关 键 词： | 引导关系 平稳性 谐整性 |
| 文章编号： | 1001-4098(2004)09-0066-03 |
An Empirical Study on Causal Relations of Cu in Futures Markets LME and SHFE |
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| JIANG Xu-biao,ZHOU Zhi-ming.An Empirical Study on Causal Relations of Cu in Futures Markets LME and SHFE[J].Systems Engineering,2004,22(9):66-68. |
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| Authors: | JIANG Xu-biao ZHOU Zhi-ming |
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| Abstract: | This paper introduced a causal relationship model and, by using it, examined the causal relations between Cu for 3 months in LME and Cu for 5 months in SHFE. The results showed that the former caused the latter in hysteresis. But the latter didn't cause the former. |
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| Keywords: | Causal Relations Smoothness Harmony |
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