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Identifying price bubbles in copper market: Evidence from a GSADF test approach

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  • Yushan Peng
  • Menglin Ni
  • Xiaoying Wang

Abstract

This paper uses the test proposed by Generalized Supremum Augmented Dickey-Fuller to identify whether there are multiple bubbles in copper price. The empirical results show that base on market fundamentals, there are seven bubbles existed from January 1980 to March 2023. Through analyses, the first two bubbles can be explained by the demand from Japan by the industry concentration and persistent supply constraint. The third to sixth bubbles are mainly negatively impacted by the global financial crisis and growing demand of China. The last bubble is caused by the economic recovery from Covid-19. The logit regression has stated that aluminum price, copper production, all metals index and GDP have a positive impact on copper bubbles, while China’s copper imports and precious metals price negatively explains copper bubbles. The main contributions are the investigation of the copper price bubbles, its determinants and the different technique of GSADF to detect copper price bubbles. Furthermore, it provides helpful information for those investors to make reasonable investment decisions and thus, avoid potential price risk.

Suggested Citation

  • Yushan Peng & Menglin Ni & Xiaoying Wang, 2023. "Identifying price bubbles in copper market: Evidence from a GSADF test approach," PLOS ONE, Public Library of Science, vol. 18(11), pages 1-18, November.
    • Handle: RePEc:plo:pone00:0290983
    DOI: 10.1371/journal.pone.0290983
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    References listed on IDEAS

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