Co-movements between Chinese and British metal futures markets：Some New Evidence base on DCC-GARCH model
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Li Yang, Jie Li
Based on the dynamic linkage between financial markets, taking futures Copper, Aluminum and Zinc as the research object, using the two element DCC-GARCH to study the price relationship between Chinese and British nonferrous metals futures markets. The results show that the linkage of the Sino British futures market is changing with time, which was the strongest, the dynamic linkage between the Copper market, Zinc, Aluminum is weakest, indicating that China's futures market plays a more and more important in the international futures market position.
Futures market, DCC-GARCH model, price linkage.