Spillovers, integration and causality in LME non-ferrous metal markets

Ciner, Cetin, Lucey, Brian and Yarovaya, Larisa (2018) Spillovers, integration and causality in LME non-ferrous metal markets. Journal of Commodity Markets. (doi:10.1016/j.jcomm.2018.10.001).

Record type: Article

Abstract

We examine the interrelationships in the global base metal markets over a 22 year period 1994–2016 using a variety of econometric methods. The results demonstrate the high intensity of both return and volatility spillovers across the selected markets. Furthermore, the degree of co-movements varies among time and frequencies. The study also contributes to the contagion literature since the results revealed the increase in co-movements after the financial crisis. Aluminium is found to be the driving force, with significant influence across all methodologies. The findings show that the behaviour of the non-ferrous metals is similar to other conventional asset classes, like equities and bonds, justifying the position that metals have become an investment class.

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Spillovers_integration_and_causality_in_LME_non_ferrous_metal_markets - Accepted Manuscript

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