Relationships between Copper Futures Markets from the Perspective of Jump Diffusion

Xue Jin, Shiwei Zhou, Kedong Yin and Mingzhen Li
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Xue Jin: School of Management Science and Engineering, Shandong University of Finance and Economics, Jinan 250014, China
Shiwei Zhou: School of Economics, Ocean University of China, Qingdao 266100, China
Kedong Yin: School of Management Science and Engineering, Shandong University of Finance and Economics, Jinan 250014, China
Mingzhen Li: School of Economics, Ocean University of China, Qingdao 266100, China

Mathematics, 2021, vol. 9, issue 18, 1-25

Abstract: This paper analyzes the price correlation effect between domestic and foreign copper futures contracts. The VAR-BEKK-GARCH (1,1) spillover effect model and the BN-S class non-parametric model based on the jumping perspective are used. The co-integration test shows a long-term equilibrium relationship between the three copper futures markets, and the Granger causality test shows that copper futures contracts have significant two-way spillover effects between different periods in Shanghai for New York copper and unidirectional mean spillover effects for London copper. The BEKK model shows significant bidirectional fluctuation spillover effects between the futures contracts of the Shanghai, London, and New York copper markets before the stock market crash. After the crash, Shanghai and New York copper have significant one-way fluctuation spillover effects on London copper futures contracts. There are jumps within a single market, and the number of joint jumps between markets increases with the significance level.

Keywords: copper futures; jump-diffusion; spillover effect; co-movement relationship (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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