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Spillovers, integration and causality in LME non-ferrous metal markets

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  • Ciner, Cetin
  • Lucey, Brian
  • Yarovaya, Larisa

Abstract

We examine the interrelationships in the global base metal markets over a 22 year period 1994–2016 using a variety of econometric methods. The results demonstrate the high intensity of both return and volatility spillovers across the selected markets. Furthermore, the degree of co-movements varies among time and frequencies. The study also contributes to the contagion literature since the results revealed the increase in co-movements after the financial crisis. Aluminium is found to be the driving force, with significant influence across all methodologies. The findings show that the behaviour of the non-ferrous metals is similar to other conventional asset classes, like equities and bonds, justifying the position that metals have become an investment class.

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  • Ciner, Cetin & Lucey, Brian & Yarovaya, Larisa, 2020. "Spillovers, integration and causality in LME non-ferrous metal markets," Journal of Commodity Markets, Elsevier, vol. 17(C).
    • Handle: RePEc:eee:jocoma:v:17:y:2020:i:c:s240585131730243x
    DOI: 10.1016/j.jcomm.2018.10.001
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    More about this item

    Keywords

    Integration; Base metals; Information transmissions; Generalized VAR model; Lead; Zinc; Aluminum; Tin;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F18 - International Economics - - Trade - - - Trade and Environment
    • F49 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Other
    • Q37 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Issues in International Trade

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