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Metal Prices Made in China? A Network Analysis of Industrial Metal Futures

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  • Pierre L. Siklos
  • Martin Stefan
  • Claudia Wellenreuther

Abstract

Apart from being the world’s greatest consumer and producer of industrial metals, China now also features the most actively traded industrial metal futures contracts worldwide. Using a sample of 29 futures contracts traded on exchanges in the United States, the United Kingdom, India and China, we estimate VAR models and conduct variance decompositions, which are then visualized in the form of networks. The results indicate that China is, despite its role as key actor in both real and financial industrial metal markets, a price taker.

Suggested Citation

  • Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther, 2019. "Metal Prices Made in China? A Network Analysis of Industrial Metal Futures," CQE Working Papers 8419, Center for Quantitative Economics (CQE), University of Muenster.
    • Handle: RePEc:cqe:wpaper:8419
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    Cited by:

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    2. Gong, Xu & Xu, Jun & Liu, Tangyong & Zhou, Zicheng, 2022. "Dynamic volatility connectedness between industrial metal markets," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    3. Boqiang Lin & Tianxu Lan, 2024. "The time‐varying volatility spillover effects between China's coal and metal market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 699-719, May.
    4. Chen, Xiangyu & Tongurai, Jittima, 2022. "Spillovers and interdependency across base metals: Evidence from China's futures and spot markets," Resources Policy, Elsevier, vol. 75(C).
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    6. Jian Yang & Zheng Li & Hong Miao, 2021. "Volatility spillovers in commodity futures markets: A network approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1959-1987, December.
    7. Libo Yin & Hong Cao, 2024. "Financialization of commodity markets: New evidence from temporal and spatial domains," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(8), pages 1357-1382, August.
    8. Ravi Kumar & Babli Dhiman, 2022. "Spillover Effects Between Indochina Metal Futures Markets," Business Management, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 4 Year 20, pages 5-17.
    9. Ren, Yinghua & Tan, Anqi & Zhu, Huiming & Zhao, Wanru, 2022. "Does economic policy uncertainty drive nonlinear risk spillover in the commodity futures market?," International Review of Financial Analysis, Elsevier, vol. 81(C).

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    Keywords

    Commodity Markets; China; Industrial Metals; Price Leadership; Networks;
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