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Multiple time-scales analyses of nickel futures and spot markets volatility spillovers effects

Author

Listed:
  • Shuifeng Hong

    (China University of Geosciences
    China University of Geosciences)

  • Mengya Li

    (China University of Geosciences)

  • Yimin Luo

    (China University of Geosciences)

Abstract

To investigate the variations in price volatility spillover effects on different time scales across the LME, SMM, and Chinese spot nickel markets. This study uses data from the London Metal Exchange (LME), Shanghai Nonferrous Metals (SMM) nickel daily closing prices, and Chinese nickel daily market prices from April 1, 2015, to September 30, 2022, to categorize the above three markets’ yield series into four-time scales: very short, short, medium, and long term. The multivariate BEKK-GARCH approach is then used to analyze the spillover effects at different time scales. The study’s findings reveal that (1) the LME, SMM, and spot nickel prices are all impacted by external shocks and inherent volatility at all time scales; (2) at the very short time scale, there is a two-way volatility spillover effect between the SMM nickel and the other two markets, in addition, a one-way volatility spillover effect between the LME and spot nickel price; (3) at the short time scale, the volatility spillover effect between the LME and spot nickel price disappears; (4) at the medium-term time scale, there is no volatility spillover effect between the LME, SMM, and spot nickel price; (5) at the long-term time scale, the SMM has a volatility spillover effect on spot nickel price.

Suggested Citation

  • Shuifeng Hong & Mengya Li & Yimin Luo, 2024. "Multiple time-scales analyses of nickel futures and spot markets volatility spillovers effects," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 37(1), pages 25-34, March.
    • Handle: RePEc:spr:minecn:v:37:y:2024:i:1:d:10.1007_s13563-023-00389-9
    DOI: 10.1007/s13563-023-00389-9
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    References listed on IDEAS

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