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Dynamic volatility spillovers among bulk mineral commodities: A network method

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  • An, Sufang
  • Gao, Xiangyun
  • An, Haizhong
  • Liu, Siyao
  • Sun, Qingru
  • Jia, Nanfei

Abstract

The volatility spillover effects among bulk mineral commodities is an important and hot issue in mineral resource policy. This paper applies a network theory approach that incorporates a bivariate spillover model to establish a bulk mineral spillover network that can not only reveal the structure of magnitude and direction of spillovers across nineteen bulk mineral futures prices but can also investigate their dynamic evolutionary process. Our findings indicate that the structure of a network changes with time. In general, an energy bulk mineral commodity such as natural gas acts as the net highest spillover transmitter, while an industries metal commodity such as U.S. Steel acts as the net highest spillover receiver. The overall structure of a network indicates that there are a few spillover flows across bulk mineral markets in which any market tends to have more spillovers among interconnected groups of neighbors. Although the overall structure became complex during the European debt and oil crisis collapses of 2014–2016, it has been simple since the end of 2017 when its range of fluctuation increased. Our research not only provides a process orientation to explore the nonlinear dynamic process of spillovers across markets but also offers important implications for the pricing mechanics of bulk mineral-related products and market management.

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  • An, Sufang & Gao, Xiangyun & An, Haizhong & Liu, Siyao & Sun, Qingru & Jia, Nanfei, 2020. "Dynamic volatility spillovers among bulk mineral commodities: A network method," Resources Policy, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719309419
    DOI: 10.1016/j.resourpol.2020.101613
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