Copper Future's Risk Spillover Effect between SHFE and LME Based on EGARCH-GED

DOI

10.2991/emcs-16.2016.68How to use a DOI?

Keywords

Risk spillover; Value at Risk (VaR); EGARCH-GED model; Granger causality test.

Abstract

This paper calculates the VaR of copper futures' price in SHFE and LME during the Sub-prime mortgage crisis and the European debt crisis using the EGARCH-GED model. The direction and extent of spillover effects are checked with Granger causality test and impulse response function. The empirical results show that the two markets own mutual spillover effects during the U.S. Sub-prime mortgage crisis, while LME's spillover effects are stronger; and during the European debt crisis, LME has one-way spillover effects on SHFE. Therefore we conclude that the SHFE's spillover effects on abroad markets depend on domestic economy, meanwhile it is necessary to take the abroad markets into consideration when supervising domestic financial market's risk.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jianhe Liu
AU  - Renfang Liang
AU  - Yubin Wang
AU  - Qiong Hu
PY  - 2016/01
DA  - 2016/01
TI  - Copper Future's Risk Spillover Effect between SHFE and LME Based on EGARCH-GED
BT  - Proceedings of the 2016 International Conference on Education, Management, Computer and Society
PB  - Atlantis Press
SP  - 281
EP  - 287
SN  - 2352-538X
UR  - https://doi.org/10.2991/emcs-16.2016.68
DO  - 10.2991/emcs-16.2016.68
ID  - Liu2016/01
ER  -