International Journal of Finance and Banking Research

| Peer-Reviewed |

Liquidity Excess and Futures Copper Price

Received: 01 September 2016    Accepted: 19 October 2016    Published: 24 January 2017
Views:       Downloads:

Share This Article

Abstract

The main contribution of this paper is to identify the relationship between liquidity excess and futures copper price in developing countries. To this end, we compare various measures of liquidity excess and identify one that can measure the degree of liquidity excess and which is particularly applicable to developing countries like China. Through multiple regression analysis, it is found that liquidity excess accounts for the changes of copper prices in the future market.

DOI 10.11648/j.ijfbr.20160206.13
Published in International Journal of Finance and Banking Research (Volume 2, Issue 6, December 2016)
Page(s) 204-208
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Liquidity, Excess, Futures, Copper, Prices

References
[1] Bruggeman, A., 2007. Can excess liquidity signal an asset price boom? Working Paper. No. 117. National Bank of Belgium. http://www.nbb.be/doc/oc/repec/reswpp/wp117en.pdf.
[2] Baks, K., Kramer, C., 1999. Global liquidity and asset prices: Measurement, implications, and spillovers. IMF Working Paper 99/168.
[3] Belke A., Setzer, R., Orth, W., 2009. Global excess liquidity does it matter for house and stock prices on a global scale. Journal of Financial Transformation. 24: 145-154.
[4] Borio, C., Lowe, P., 2002. Asset prices, financial and monetary stability: Exploring the nexus. BIS Working Papers, 1-39.
[5] Xia B., Chen, D. F., 2007. China’s liquidity report [EB/OL]. http://data. stock. Hexun. com/2349711. Shtml, 07-09.
[6] European Central Bank. 2001. Monthly Bulletin [EB/OL]. http://www.ecb.int/home/html/index.en.html.
[7] Engle R. F., Granger, J. C. W., 1987. Cointegration and error correction: Representation, estimation and testing [J], Econometrica, 55, 251-276.
[8] Ferguson, R. S. Jr., 2007. Asset prices and monetary liquidity. To the Seventh Deutsche Bundesbank Spring Conference, Berlin, Germany.
[9] Giese, J. V., Tuxen, C. K., 2007. Global liquidity and asset prices in a Cointegrated VAR. Nuffield College, University of Oxford, and Department of Economics, Copenhagen University. 1-28.
[10] Gouteron, S., Szpiro, D., 2005. Excess monetary liquidity and asset prices. Working Paper. Banque de France. 1-53.
[11] Ha J. M., 2007. The Analysis of the effects of Chinese citizens’ direct investment in overseas stock market [J]. Southwest Finance. 10: 43-50.
[12] Jin C. X., Wang, M., Wang, J. Y., 2010. Excess liquidity and asset price inflation — Based on econometric analysis of VEC[J], Taxation and Economy. 4:1-7.
[13] Johansen, S., 1988. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control. 12: 231-254.
[14] Johansen, S., Juselius, K., 1990. Maximum likelihood estimation and inference on cointegration———With applications to the demand for money. Oxford Bulletin of Economics & Statistics. 52: 169-210.
[15] Li J. J., 2006. Estimating theory and approach for the non-observed money fund in China. The Journal of Quantitative & Technical Economics. 7:58-68.
[16] Liu C. H., Zhang, X., 2007. The prosperity expectation, liquidity changes and asset prices. Finance Research. 6:86-99.
[17] OECD. 2001. Handbook for Measurement of the Non-observed Economy, Second Draft.
[18] Polleit. T., Gerdesmeier, D., 2005. Measures of excess liquidity. http: //www. Hfb.de/Dateien/.
[19] Rüffer, R., Stracca, L., 2006. What is global excess liquidity, and does it matter? ECB Working Paper. 1-50.
[20] Sun J. H., 2006. The analysis of excess liquidity of commercial banks from the perspective of macroeconomics. Financial Science. 7:83-99.
[21] Sebastian B., 2007. Global liquidity glut and asset price inflation. Deutsche Bank Research.
[22] Tian S. H., 2007. Exploration of the causes of excess liquidity of Chinese commercial banks. Economic Issues in China. 5: 38-50.
[23] Tian B. P., Fang L., 2010. Factors analysis on liquidity surplus and a rise of Chinese stock markets. Systems Engineering-Theory & Practice. 2:277-286.
[24] Giese V. J., Tuxen, C. K., 2007. Global liquidity and asset prices in a Co-integrated VAR [EB/OL]. http://www.economics.ox.ac.uk/hendryconference/Papaers/Giese_DFHVol.pdf.
[25] White, W., 2006. Is price stability enough? BIS Working Paper. 205.
[26] Xu D. L., Ye, S. B., 2008. Theoretical and empirical study on measuring methods of China’s excess liquidity. The Journal of Quantitative & Technical Economics. 3:3-16.
[27] Xu T., Dong, Y. X., 2010. Excess monetary liquidity, noise trading and asset price volatility. On Economic Problems. 2:4-10.
[28] Yu Y. D., 2007. Understanding excess liquidity. International Economic Review. 7: 12-25.
[29] Zhang C., 2009. Excess liquidity, inflation and Yuan appreciation: What can China learn from recent history?. The World Economy. 32: 998-1018.
Author Information
  • Business School, Nanjing Normal University, Nanjing, China

  • Business School, Nanjing Normal University, Nanjing, China

  • Business School, Nanjing Normal University, Nanjing, China

Cite This Article
  • APA Style

    Yuzhou Yang, Chen Zhu, Zhongwen Tong. (2017). Liquidity Excess and Futures Copper Price. International Journal of Finance and Banking Research, 2(6), 204-208. https://doi.org/10.11648/j.ijfbr.20160206.13

    Copy | Download

    ACS Style

    Yuzhou Yang; Chen Zhu; Zhongwen Tong. Liquidity Excess and Futures Copper Price. Int. J. Finance Bank. Res. 2017, 2(6), 204-208. doi: 10.11648/j.ijfbr.20160206.13

    Copy | Download

    AMA Style

    Yuzhou Yang, Chen Zhu, Zhongwen Tong. Liquidity Excess and Futures Copper Price. Int J Finance Bank Res. 2017;2(6):204-208. doi: 10.11648/j.ijfbr.20160206.13

    Copy | Download

  • @article{10.11648/j.ijfbr.20160206.13,
      author = {Yuzhou Yang and Chen Zhu and Zhongwen Tong},
      title = {Liquidity Excess and Futures Copper Price},
      journal = {International Journal of Finance and Banking Research},
      volume = {2},
      number = {6},
      pages = {204-208},
      doi = {10.11648/j.ijfbr.20160206.13},
      url = {https://doi.org/10.11648/j.ijfbr.20160206.13},
      eprint = {https://download.sciencepg.com/pdf/10.11648.j.ijfbr.20160206.13},
      abstract = {The main contribution of this paper is to identify the relationship between liquidity excess and futures copper price in developing countries. To this end, we compare various measures of liquidity excess and identify one that can measure the degree of liquidity excess and which is particularly applicable to developing countries like China. Through multiple regression analysis, it is found that liquidity excess accounts for the changes of copper prices in the future market.},
     year = {2017}
    }
    

    Copy | Download

  • TY  - JOUR
    T1  - Liquidity Excess and Futures Copper Price
    AU  - Yuzhou Yang
    AU  - Chen Zhu
    AU  - Zhongwen Tong
    Y1  - 2017/01/24
    PY  - 2017
    N1  - https://doi.org/10.11648/j.ijfbr.20160206.13
    DO  - 10.11648/j.ijfbr.20160206.13
    T2  - International Journal of Finance and Banking Research
    JF  - International Journal of Finance and Banking Research
    JO  - International Journal of Finance and Banking Research
    SP  - 204
    EP  - 208
    PB  - Science Publishing Group
    SN  - 2472-2278
    UR  - https://doi.org/10.11648/j.ijfbr.20160206.13
    AB  - The main contribution of this paper is to identify the relationship between liquidity excess and futures copper price in developing countries. To this end, we compare various measures of liquidity excess and identify one that can measure the degree of liquidity excess and which is particularly applicable to developing countries like China. Through multiple regression analysis, it is found that liquidity excess accounts for the changes of copper prices in the future market.
    VL  - 2
    IS  - 6
    ER  - 

    Copy | Download

  • Sections