Dynamic spillovers between Shanghai and London nonferrous metal futures markets
Sang Hoon Kang and
Seong-Min Yoon ()
Finance Research Letters, 2016, vol. 19, issue C, 181-188
This paper examines the dynamic return and volatility spillovers between the Shanghai Futures Exchange (SFE) and the London Metal Exchange (LME) from 2007 to 2016 using the new spillover index of Diebold and Yilmaz (2012). Our results indicate that the LME nonferrous metal futures have a greater impact on SFE nonferrous metal futures. In particular, these trends are more pronounced in the aftermath of the recent financial crises, indicating the strength of spillovers during periods of turmoil. The direction of spillovers significantly depends on time variation.
Keywords: Dynamic spillovers; Financial crisis; Spillover index; Nonferrous metal futures (search for similar items in EconPapers)
JEL-codes: C58 F37 G14 G15 Q31 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:19:y:2016:i:c:p:181-188
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