Proceedings of the 2016 International Conference on Education, Management, Computer and Society

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

Authors
Jianhe Liu, Renfang Liang, Yubin Wang, Qiong Hu
Corresponding Author
Jianhe Liu
Available Online January 2016.
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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Volume Title
Proceedings of the 2016 International Conference on Education, Management, Computer and Society
Series
Advances in Computer Science Research
Publication Date
January 2016
ISBN
978-94-6252-158-2
ISSN
2352-538X
DOI
10.2991/emcs-16.2016.68How to use a DOI?
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/).

Cite this article

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  -