Cross-Market Price Mechanism Between the US Copper Futures Market and a Newly Proposed Chinese Dollar Index
Date
2017
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Publisher
Springer Science and Business Media B.V.
Abstract
Recent changes in China’s copper demand have lately received much attention due to its close relationship to the country’s economic activity. Although an emerging market, China accounts for around 40 % of the world’s copper demand and the USA is the third biggest market for exports, making it imperative to assess the relationship between copper futures prices and a newly proposed Chinese dollar index. The purpose of this study is to analyse if changes in the copper futures prices can be used as a market timing tool to predict movements in the Chinese dollar index, and vice versa. To enhance the predictive market timing ability, an adaptive relative strength index model is used to track changes in market conditions better. The analysis is conducted using both daily and weekly data over the June 2007–December 2015 period. Findings will suggest if the technical analysis tool can be used to forecast copper prices based on changes in the Chinese dollar index, or if accurate forecasts can be made on the Chinese dollar index based on movements in copper’s prices, over different frequency intervals. More importantly, this would have policy implications in that it would reveal whether global copper prices can be affected by Chinese Yuan’s movements against other major global currencies, suggesting a need for regulatory bodies to relook at the effect of non-fundamental factors on commodity and currency markets. © 2017, Springer International Publishing Switzerland.
Description
This conference paper is not available at CUD collection. The version of scholarly record of this paper is published in Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy. Springer Proceedings in Business and Economics (2017), available online at: https://doi.org/10.1007/978-3-319-43434-6_66
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Conference Paper
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Keywords
Adaptive relative strength index, Chinese Yuan, Copper futures prices
Citation
Gurrib, I. (2017). Cross-Market Price Mechanism Between the US Copper Futures Market and a Newly Proposed Chinese Dollar Index. In R. Benlamri & M. Sparer (Eds.) Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy. Springer Proceedings in Business and Economics, (pp. 741 - 747). Springer, Cham. https://doi.org/10.1007/978-3-319-43434-6_66