中国有色金属学报(英文版)
Transactions of Nonferrous Metals Society of China
Vol. 23 No. 8 August 2013 |
(1. Business School, Central South University, Changsha 410083, China;
2. Institute of Metal Resources Strategy, Central South University, Changsha 410083, China;
3. Founder Securities, Changsha 410015, China)
Abstract:By using GARCH(1,1)-M and EGARCH(1,1)-M models, the relationships among funds speculation transaction, arbitrage transaction and the fluctuation of international copper future price were studied. The news impact curve of copper future price fluctuation respectively introduced funds speculation position and arbitrage position was given, and the result is consistent with the empirical study conclusion. The results show that investment funds are not the factor that causes copper future price fluctuation, but can reduce the copper future price fluctuation; the copper future price fluctuation is more sensitive to negative information, and fund speculative positions can reduce asymmetric effect of copper price fluctuation, while funds arbitrage position influences less.
Key words: commodity investment funds; speculation; arbitrage;copper price bubble; GARCH family models