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| Evolution Analysis of Price Linkage Effect in the International Futures Market of Non-Ferrous Metals:Case of Copper, Aluminum and Zinc |
| DONG Xiaojuan, AN Haigang, DONG Zhiliang
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| School of Management Science and Engineering, Hebei GEO University, Shijiazhuang 050031, China |
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Abstract In recent years, the price of non-ferrous metal futures market has fluctuated greatly and the trading risk has been increasing. In this paper, the dynamic characteristics of the linkage relationship of non-ferrous metal futures prices are studied. Based on the analysis of the prices of copper, aluminum and zinc, the paper constructed two directed weighted networks of copper-aluminum-zinc futures price linkage relationship. The paper analyzed the moderate distribution and marginal power of price networks. Then the paper studied the network topology and its evolution characteristics such as distribution of median centrality, and proximity. The results show that the price linkage of copper, aluminum and zinc futures in 2008-2018 is relatively stable in a few key relationship models. Through the analysis of the marginal rights in the network, it is found that the copper-aluminum-zinc futures price linkage relation model tends to remain stable for a period of time. By analyzing the betweenness centrality and the closeness centrality of the network, itis found that the frequent occurrence of key media nodes has certain regularity, and it is directly related to the market price trend and the linkage characteristics of the three metals. Therefore, based on the above results, this paper proposes a method to identify the trend of price linkage effect, and puts forward effective suggestions for the application of this method.
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Published: 16 May 2019
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