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Indian and Chinese Metal Futures Markets: A Linkage Analysis

Author

Listed:
  • Kumar Ravi

    (Mittal School of Business, Lovely Professional University, Phagwara)

  • Dhiman Babli

    (Mittal School of Business, Lovely Professional University, Phagwara)

Abstract

This paper aims to test the long-run and short-run relationships between the Indian and Chinese metal futures markets using the weekly closing prices of three nonferrous metals, that is, copper, aluminium, and zinc, for the period of 2009–2020. The empirical results show no cointegration for any of the three metals. The Granger causality test suggests a unidirectional relationship from India to China for copper futures and bidirectional causality for aluminium and zinc futures markets. This paper contributes to the literature by studying the relationship between the mentioned two emerging markets, which are top producers and consumers in commodities and have growing futures markets. The results have important implications for investors, portfolio makers, and policymakers of emerging economies.

Suggested Citation

  • Kumar Ravi & Dhiman Babli, 2022. "Indian and Chinese Metal Futures Markets: A Linkage Analysis," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 10(1), pages 1-14, September.
    • Handle: RePEc:vrs:auseab:v:10:y:2022:i:1:p:1-14:n:2
    DOI: 10.2478/auseb-2022-0001
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    References listed on IDEAS

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    More about this item

    Keywords

    short-run relationship; long-run relationship; Granger causality; cointegration; futures market;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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