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Identification and Contagion Study of Price Bubbles in Bulk Nonferrous Metals

In: Proceedings of the 5th International Conference on Economic Management and Big Data Application (ICEMBDA 2024)

Author

Listed:
  • Yu Zhao

    (East China University of Technology, School of Economics and Management
    East China University of Technology, Resources and Environmental Economics Research Centre)

  • Juntao Zhang

    (East China University of Technology, Resources and Environmental Economics Research Centre)

  • Deqing Zeng

    (East China University of Technology, Resources and Environmental Economics Research Centre)

Abstract

Based on the daily price index samples of copper, aluminum, lead, zinc, and nickel in China from 2019 to 2023, this study employs the Backward Sup Augmented Dickey-Fuller test, R-Vine Copula model, Granger causality test, and vector autoregression model to investigate the statistical characteristics and contagion of price bubble risks in the domestic non-ferrous metal market. Additionally, the impact of the international geopolitical risk index on China’s non-ferrous metal price bubbles is explored. The research findings indicate that significant price bubbles exist in the copper, aluminum, zinc, and nickel markets in China. The non-ferrous metal market price bubbles are predominantly long-lasting, with the price bubble risk ranked from largest to smallest as aluminum, copper, zinc, and nickel. Regarding the contagion of price bubble risks, a price bubble in the copper market leads to price bubbles in the aluminum, zinc, and nickel markets. International geopolitical risks have a positive impact on the price bubbles of copper and aluminum in China, with the impact peaking within six trading days and diminishing to zero after nine trading days.

Suggested Citation

  • Yu Zhao & Juntao Zhang & Deqing Zeng, 2024. "Identification and Contagion Study of Price Bubbles in Bulk Nonferrous Metals," Advances in Economics, Business and Management Research, in: Kun Zhang & Hang Luo & Tang Yao & Hongbo Li (ed.), Proceedings of the 5th International Conference on Economic Management and Big Data Application (ICEMBDA 2024), pages 29-37, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-638-3_5
    DOI: 10.2991/978-94-6463-638-3_5
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