第
30
卷
摇
第
1
期
摇 摇
杨艳军
,
费
摇
然
:
基于
Geweke
分解检验的基金投机与国际资源性商品期货价格关系研究
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Research on the Relationship between Fund Speculation and Future
Price of International Resource Commodities Based on Geweke
Decomposition Test
:
Taking International Copper Market as Example
YANG Yanjun & FEI Ran
(
Business School
,
Central South University
,
Changsha
,
Hunan 410083
,
China
)
Abstract
: This paper uses Geweke decomposition test to study the relationship between fund speculation behavior and cop鄄
per price on international future market from June 13, 2006 to June 18, 2013. The result shows that copper price on international
future market has a one鄄way long鄄term causal relationship with fund speculation, but there is a two鄄way short鄄term causal relation鄄
ship between the two. From the feedback, the causal relationship is mainly the short鄄term causal relation. This suggests that fund
speculation is not the essential cause of the long鄄term volatility in copper price, but it makes the copper price fluctuate heavily in
the short term.
Key Words
: fund speculation; international copper price; Geweke decomposition test
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