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Time-frequency co-movements between the largest nonferrous metal futures markets

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  • Kang, Sang Hoon
  • Tiwari, Aviral Kumar
  • Albulescu, Claudiu Tiberiu
  • Yoon, Seong-Min

Abstract

This study contributes to the literature on metal commodity market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the application of wavelet coherence analysis to nonferrous metal futures markets in Shanghai and London. We show that London's nonferrous futures market generally leads Shanghai's market, especially in the medium-run. In addition, Shanghai's market leads London's market in the case of aluminium and zinc in the long-run, with implications for long-term investors. In particular, we observe strong causal effects for 2008–2014, indicating that market turmoil intensifies the causality between the markets.

Suggested Citation

  • Kang, Sang Hoon & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2019. "Time-frequency co-movements between the largest nonferrous metal futures markets," Resources Policy, Elsevier, vol. 61(C), pages 393-398.
  • Handle: RePEc:eee:jrpoli:v:61:y:2019:i:c:p:393-398
    DOI: 10.1016/j.resourpol.2017.12.010
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    More about this item

    Keywords

    Co-movement; Wavelet coherence analysis; Causality; Nonferrous metal futures;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices

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