Copper Price Discovery on COMEX, 2006–2015

Marta Chylińska and Paweł Miłobędzki ()
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Marta Chylińska: University of Gdańsk
Paweł Miłobędzki: University of Gdańsk

A chapter in Contemporary Trends and Challenges in Finance, 2017, pp 57-67 from Springer

Abstract: Abstract We estimate a VEC DCC-MGARCH model on the weekly sampled price series of 3 mostly traded copper futures on COMEX maturing within 2, 3 and 4 months in the period 4 Jan 2006–30 Dec 2015 and find that they are co-integrated and symmetrically revert to their long run equilibrium relation. We also reveal the existence of Granger causality running in both directions for all pairs of maturities. More interestingly, we observe 3 periods of an increased conditional volatility of the returns on copper futures resulting from the change of market sentiment that is due to the fall of risk appetite after the release of the April 2006 Global Financial Stability Report, the collapse of the Lehman Brothers Holdings Inc. in September 2008, as well as the next stage of the Greek financial crisis preceding the agreement to write-off 50% of the Greek debt in October 2011. At all times their conditional correlations remain almost stable and are close to one, however.

Keywords: Granger Causality; Spot Price; Vector Error Correction Model; Conditional Correlation; Conditional Volatility (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-54885-2_6

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DOI: 10.1007/978-3-319-54885-2_6

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