When we say London copper, we mean 3 LUN copper. Represents the average price of the last three months, which can be understood as the middle month, so it has no expiration month, so its graph is always continuous. Therefore, we will only see 3 LUN copper, but there are no 4, 5, 6 LUN copper and so on. What we usually say, for example, Shanghai Copper 0709 is a specific copper futures in September 2007, and the contract is due for delivery. Shanghai Copper refers to the recent one-month contract continuously; Lian San refers to the contract of the third month from near to far, and so does Lian Si. You can see that the Shanghai Copper series you see today is exactly the same as the Shanghai Copper 0707. And Hulian Sanhe is the same as Shanghai Copper 07 10. When placing an order, you should place an order in the specific month of Shanghai Copper.

The fluctuation of Shanghai copper price has a great influence on Shanghai copper price. In order to reveal the correlation between them and accurately grasp the long-term trend of copper prices in Shanghai, this paper uses cointegration theory and Granger causality test to study.

I. Selection of data

1. Selection of Shanghai Copper Data

As an important industrial raw material, the change of supply and demand of copper often has a great influence on a country's economy. After years of development, Shanghai copper futures trading market has matured, and its price plays a huge role in the production of copper-related industries and the discovery of spot prices. In order to study the relationship between copper prices at home and abroad, we choose the copper futures price data of Shanghai Stock Exchange as the index of Shanghai copper futures price. Shanghai Copper Co., Ltd. refers to linking futures contract prices three months after the current delivery month. It is a collection of the most active varieties, so it is representative. In this paper, the closing data of trading days from 2007 to 2008, from 65438+1 October1October 28 165438+ are selected, and the data come from Fuyuan quotation software database.

2. Selection of international copper price index

As a major metal exchange in the world, the London Metal Exchange has been developing for many years, and the international pricing power is absolutely dominant. The trend of domestic metal futures prices is greatly influenced by London metal futures prices. In order to study the correlation between the two, we choose March copper of London Metal Exchange, which corresponds to Shanghai Copper Company 3, as the international copper price index. This paper selects the closing price of the trading day from 65438+1 October 20071to 2008165438+1October 28. The data comes from Fuyuan market software database.

2. Study on the co-integration relationship between Shanghai Copper and Luntong Copper.

2. The stationarity test of1Shanghai copper futures price series and Lun copper futures price series.

Only when the time series {x} and {y} of two variables are unitary sequences of the same order, that is, I(d), there is a cointegration relationship. Therefore, before testing the cointegration relationship between two variables, ADF unit root test is used to test the stationarity of two time series {x} and {y}. The common test method of stationarity is unit root test.