Identification and Contagion Study of Price Bubbles in Bulk Nonferrous Metals

Yu Zhao (), Juntao Zhang () and Deqing Zeng ()
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Yu Zhao: East China University of Technology, School of Economics and Management
Juntao Zhang: East China University of Technology, Resources and Environmental Economics Research Centre
Deqing Zeng: East China University of Technology, Resources and Environmental Economics Research Centre

A chapter in Proceedings of the 5th International Conference on Economic Management and Big Data Application (ICEMBDA 2024), 2024, pp 29-37 from Springer

Abstract: Abstract Based on the daily price index samples of copper, aluminum, lead, zinc, and nickel in China from 2019 to 2023, this study employs the Backward Sup Augmented Dickey-Fuller test, R-Vine Copula model, Granger causality test, and vector autoregression model to investigate the statistical characteristics and contagion of price bubble risks in the domestic non-ferrous metal market. Additionally, the impact of the international geopolitical risk index on China’s non-ferrous metal price bubbles is explored. The research findings indicate that significant price bubbles exist in the copper, aluminum, zinc, and nickel markets in China. The non-ferrous metal market price bubbles are predominantly long-lasting, with the price bubble risk ranked from largest to smallest as aluminum, copper, zinc, and nickel. Regarding the contagion of price bubble risks, a price bubble in the copper market leads to price bubbles in the aluminum, zinc, and nickel markets. International geopolitical risks have a positive impact on the price bubbles of copper and aluminum in China, with the impact peaking within six trading days and diminishing to zero after nine trading days.

Keywords: Nonferrous Metals; Price Bubbles; Price Risk; Backward Sup Augmented Dickey-Fuller (search for similar items in EconPapers)
Date: 2024
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DOI: 10.2991/978-94-6463-638-3_5

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