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Contagion in Futures Metal Markets during the Recent Global Financial Crisis: Evidence from Gold, Silver, Copper, Zinc and Aluminium

Author

Listed:
  • Konstantinos Tsiaras

    (Department of Economic Sciences. University of Ioannina, Greece.)

Abstract

This paper seeks to investigate the time-varying dynamic conditional correlations to the five most important future metal markets, namely Gold, Silver, Copper, Zinc and Aluminium. We employ a multivariate Fractionally Integrated Generalized ARCH (FIGARCH) dynamic conditional correlation (cDCC) model to generate the potential contagion effects between the markets. The under investigation period is during the period 2006-2011. Empirical results show the existence of contagion or the increase in dynamic conditional correlation for all the pairs of markets, indicating the correlations risky from an investor’s point of view and implying the portfolio strategies difficult to apply. Additionally, Zinc is proved to be the most immune future metal market. The results are of interest to policymakers who provide regulations for the future metal markets.

Suggested Citation

  • Konstantinos Tsiaras, 2020. "Contagion in Futures Metal Markets during the Recent Global Financial Crisis: Evidence from Gold, Silver, Copper, Zinc and Aluminium," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 70(3-4), pages 42-55, July-Dece.
    • Handle: RePEc:spd:journl:v:70:y:2020:i:3-4:p:42-55
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    References listed on IDEAS

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    1. Kumar Ravi & Dhiman Babli, 2022. "Indian and Chinese Metal Futures Markets: A Linkage Analysis," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 10(1), pages 1-14, September.

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    More about this item

    Keywords

    Financial contagion; Global Financial Crisis; cDCC-FIGARCH model; future metal market;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • L61 - Industrial Organization - - Industry Studies: Manufacturing - - - Metals and Metal Products; Cement; Glass; Ceramics

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