Spillovers, integration and causality in LME non-ferrous metal markets

Cetin Ciner, Brian Lucey and Larisa Yarovaya

Journal of Commodity Markets, 2020, vol. 17, issue C

Abstract: We examine the interrelationships in the global base metal markets over a 22 year period 1994–2016 using a variety of econometric methods. The results demonstrate the high intensity of both return and volatility spillovers across the selected markets. Furthermore, the degree of co-movements varies among time and frequencies. The study also contributes to the contagion literature since the results revealed the increase in co-movements after the financial crisis. Aluminium is found to be the driving force, with significant influence across all methodologies. The findings show that the behaviour of the non-ferrous metals is similar to other conventional asset classes, like equities and bonds, justifying the position that metals have become an investment class.

Keywords: Integration; Base metals; Information transmissions; Generalized VAR model; Lead; Zinc; Aluminum; Tin (search for similar items in EconPapers)
JEL-codes: C32 F18 F49 Q37 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:17:y:2020:i:c:s240585131730243x

DOI: 10.1016/j.jcomm.2018.10.001

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