印度和中国金属期货市场:联动分析

Ravi Kumar, Babli Dhiman
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引用次数: 1

摘要

摘要本文旨在利用2009-2020年期间三种有色金属(铜、铝和锌)的周收盘价,检验印度和中国金属期货市场之间的长期和短期关系。实证结果表明,三种金属中的任何一种都没有协整。格兰杰因果检验表明,从印度到中国的铜期货市场存在单向关系,而铝和锌期货市场存在双向因果关系。本文通过研究上述两个新兴市场之间的关系来贡献文献,这两个新兴市场是商品的顶级生产者和消费者,并且拥有不断增长的期货市场。研究结果对新兴经济体的投资者、投资组合制定者和政策制定者具有重要意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Indian and Chinese Metal Futures Markets: A Linkage Analysis
Abstract This paper aims to test the long-run and short-run relationships between the Indian and Chinese metal futures markets using the weekly closing prices of three nonferrous metals, that is, copper, aluminium, and zinc, for the period of 2009–2020. The empirical results show no cointegration for any of the three metals. The Granger causality test suggests a unidirectional relationship from India to China for copper futures and bidirectional causality for aluminium and zinc futures markets. This paper contributes to the literature by studying the relationship between the mentioned two emerging markets, which are top producers and consumers in commodities and have growing futures markets. The results have important implications for investors, portfolio makers, and policymakers of emerging economies.
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