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Spillover effects in the global copper futures markets: asymmetric multivariate GARCH approaches

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  • Hyun-Bock Lee
  • Cheol-Ho Park

Abstract

This study investigates changes in return and volatility spillovers between the LME/COMEX and the SHFE copper futures markets before and after the global financial crisis and after the introduction of the night trading session (NTS) to the SHFE using asymmetric multivariate GARCH models. The results show that the SHFE has not been stronger to the LME/COMEX in information spillover effects, even though it has grown substantially in terms of trading volume after the crisis. Furthermore, the SHFE does not seem to have a significant influence on international copper futures prices although the Chinese government allowed the NTS to the SHFE.

Suggested Citation

  • Hyun-Bock Lee & Cheol-Ho Park, 2020. "Spillover effects in the global copper futures markets: asymmetric multivariate GARCH approaches," Applied Economics, Taylor & Francis Journals, vol. 52(54), pages 5909-5920, November.
    • Handle: RePEc:taf:applec:v:52:y:2020:i:54:p:5909-5920
    DOI: 10.1080/00036846.2020.1781769
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    Cited by:

    1. Liu, Xueyong & Chen, Zhihua & Chen, Zhensong & Yao, Yinhong, 2022. "The time-varying spillover effect of China’s stock market during the COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    2. Shen, Junjie & Huang, Shupei, 2022. "Copper cross-market volatility transition based on a coupled hidden Markov model and the complex network method," Resources Policy, Elsevier, vol. 75(C).
    3. Sun, Chuanwang & Min, Jialin & Sun, Jiacheng & Gong, Xu, 2023. "The role of China's crude oil futures in world oil futures market and China's financial market," Energy Economics, Elsevier, vol. 120(C).

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