The impacts of oil price shocks and jumps on China's nonferrous metal markets

Feng Liu, Chuanguo Zhang and Mengying Tang

Resources Policy, 2021, vol. 73, issue C

Abstract: Existing studies have been concerned with the relationship between oil price and nonferrous metal markets. However, little attention has been paid to the impacts of lagged oil price shocks and volatility spillover effects of oil price jumps on China's nonferrous metal markets. This paper employs the ARMA-EGARCH-ARJI model to capture the volatility clustering and dynamic jumps in oil price fluctuation and the ARMA-EGARCH model to study the impacts of oil price changes on China's nonferrous metal markets. The results indicate that both the shocks and jumps of oil price affect China's nonferrous metal markets. First, the nonferrous metal markets are negatively affected by the expected shocks and unexpected positive shocks, while the impacts of unexpected negative shocks are positive on most nonferrous metal markets. Second, the impacts of oil price shocks are characterized by time-lag, and both the current and lagged oil price shocks affect the nonferrous metal markets. Third, oil price jumps lead to overreaction of volatility in nonferrous metal markets. This study not only contributes to advancing the existing literature, but also merits particular attention from both policy makers and market participants.

Keywords: Oil price; Shocks; Jumps; Nonferrous metal markets; Overreaction (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002397

DOI: 10.1016/j.resourpol.2021.102228

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