Spillovers and interdependency across base metals: Evidence from China's futures and spot markets

Xiangyu Chen and Jittima Tongurai

Resources Policy, 2022, vol. 75, issue C

Abstract: Using the framework of Diebold and Yilmaz (2012, 2014), we examine the spillovers of informational shocks and the connectedness in China's base metals futures and spot markets. We find that base metals tend to generate more total spillovers in the futures market than in the spot market and that individual metals, apart from nickel, have nearly identical directional spillover impacts on or from other base metals in both the futures and spot markets. Copper and zinc act as the pricing centre in both futures and spot markets, where informational innovation is expected to flow from copper and zinc to other metal commodities. According to the dynamic analysis, the US-China trade dispute tends to significantly reduce total spillovers in both the futures and spot markets. We also find that the information transmission channels between base metals in futures and spot markets differ slightly and that the futures market leads the spot market in price discovery.

Keywords: Spillover index; Dynamic connectedness; Base metal market; China (search for similar items in EconPapers)
JEL-codes: C12 C32 G10 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420721004876
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004876

DOI: 10.1016/j.resourpol.2021.102479

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().