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中文摘要：
以上海期货交易所和伦敦金属交易所（LME）铜期货为研究对象,使用EVIEWS 8.0和MATLAB软件,利用GJR-DCC-GARCH模型对沪铜期货市场和LME铜期货市场的动态联动性进行了实证研究。首先,采用Granger因果效应检验和脉冲响应分析;其次,对两市场分别建立GJR-GARCH模型并采用极大似然估计方法计算DCC模型的参数值;最后,得到两国铜市场的动态相关系数图。结果表明：中英铜期货市场的动态联动现象比较显著,两市场均存在非对称效应,中国铜期货市场为成熟市场且在全球铜期货定价方面具有话语权。
英文摘要：
Taking the Shanghai Futures Exchange and the Copper Futures of the London Metal Exchange （LME） as the research objects, using EVIEWS8.0 and MATLAB software and applying the GJR-DCC-GARCH Model, this paper conducted an empirical research into the dynamic linkage between the copper futures market of SHFE and that of the LME. The steps were taken as follows ： Firstly, using Granger causality test and impulse response analy- sis effect; then, establishing respectively the GJR-GARCH model for each of the two markets to calculate the DCC model parameter values by way of using the maximum likelihood estimation method; finally, deriving a coefficient chart of the copper market dynamic correlations between the two countries. The results indicate that the dynamic linkage phenomena in the copper futures market between the two countries are prominent, and both of the markets have remained some asymmetric effect, where the Chinese copper futures market is a mature market and has a dis- cursive power in price decision for the global copper futures.
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