Research on the Dynamic Relationship among China’s Metal Futures, Spot price and London's Futures price

This paper studies the dynamic relationship among futures price, spot price of Shanghai metal and futures price of London with the co-integration theory, Granger causality tests, residue analysis, impulse responses function, and variance decomposition on the VECM. The study shows the three have the long equilibrium relationship: the copper futures price of Shanghai have internalities to the futures of London; the aluminum futures price have externalities; the three have different price discovery functions.