Intraday return and volatility spill-over across international copper futures markets
Purpose – The purpose of this paper is to investigate the short-run return and volatility spill-overs across three major international copper futures markets: London Metal Exchange (LME), New York Mercantile Exchange (NYMEX), and Shanghai Futures Exchange (SHFE). Design/methodology/approach – The analysis utilizes a dynamic conditional correlation GARCH model to explore the return and volatility relationships. Findings – The return and volatility spill-overs between the two developed markets, LME and NYMEX, are bi-directional and significantly stronger when the NYMEX operates an electronic trading system. In addition, significant bi-directional return spill-over between the LME (developed market) and the SHFE (emerging market) and significant uni-directional volatility spill-over from the LME to the SHFE are documented. Research limitations/implications – The evidence suggests that degree of market integration and trading mechanism play crucial roles in the return and volatility transmission across the three major copper futures markets. Higher level of market integration and easy access to trading information lead to faster information dissemination and help to establish stronger relationships of returns and volatility across the markets. This is consistent with the findings in the equity markets. Originality/value – The study provides empirical evidence of short-run information transmission between developed and emerging copper futures markets.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 5 (2009)
Issue (Month): 1 (February)
|Contact details of provider:|| Web page: http://www.emeraldinsight.com|
|Order Information:|| Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK|
Web: http://emeraldgrouppublishing.com/products/journals/journals.htm?id=ijmf Email:
When requesting a correction, please mention this item's handle: RePEc:eme:ijmfpp:v:5:y:2009:i:1:p:135-149. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Louise Lister)
If references are entirely missing, you can add them using this form.