Copper Price Discovery on Comex, the LME and the SHFE, 2001-2013

Figuerola-Ferretti Garrigues, Isabel; Gilbert, Chris L.; Yan, Jieqin

Publication:
Copper Price Discovery on Comex, the LME and the SHFE, 2001-2013

dc.affiliation.dpto	UC3M. Departamento de Economía de la Empresa	es
dc.contributor.author	Figuerola-Ferretti Garrigues, Isabel
dc.contributor.author	Gilbert, Chris L.
dc.contributor.author	Yan, Jieqin
dc.contributor.editor	Universidad Carlos III de Madrid. Departamento de Economía de la Empresa	es
dc.date.accessioned	2014-06-18T16:27:19Z
dc.date.available	2014-06-18T16:27:19Z
dc.date.issued	2014-02
dc.description.abstract	Over the past two decades, China has come to dominate international commerce in copper. The importance of the Shanghai Futures Exchange(SHFE) has increased in response to this development. We look at the distribution of price discovery between the SHFE and the two historically important copper futures exchanges, Comex and the LME. The resultsindicate that it is Comex, followed by the SHFE, not the LME which plays the most important role in copper price discovery. We also highlighta number of problems associated with both the calculation and interpretation of the standard IS and PT price discovery measures when used to look at overlapping price change on non-synchronous markets.The results offer a clearer interpretation in terms of trading slots (European, North American and Asian trading days) than in terms of exchanges.	en
dc.format.mimetype	application/pdf
dc.identifier.issn	2341-0795
dc.identifier.repec	wb140402
dc.identifier.uri	https://hdl.handle.net/10016/19013
dc.identifier.uxxi	DT/0000001213	es
dc.language.iso	eng	es
dc.relation.ispartofseries	Business Economic Series	en
dc.relation.ispartofseries	14-02
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España	*
dc.rights.accessRights	open access	en
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/	*
dc.subject.other	Price discovery	en
dc.subject.other	Cointegration non-synchronous trading	en
dc.subject.other	Copper	en
dc.title	Copper Price Discovery on Comex, the LME and the SHFE, 2001-2013	en
dc.type	working paper	*
dc.type.hasVersion	SMUR	*
dspace.entity.type	Publication