The University of Southampton
University of Southampton Institutional Repository

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

Spillovers, integration and causality in LME non-ferrous metal markets
Spillovers, integration and causality in LME non-ferrous metal markets
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.
integratino, base metals, information transmission, lead, zinc, Aluminium, Tin
2405-8513
Ciner, Cetin
cf7b4a40-8c6b-4105-ab75-cfd1547e79c0
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Ciner, Cetin
cf7b4a40-8c6b-4105-ab75-cfd1547e79c0
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

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.

Text
Spillovers_integration_and_causality_in_LME_non_ferrous_metal_markets - Accepted Manuscript
Download (3MB)

More information

Accepted/In Press date: 3 October 2018
e-pub ahead of print date: 23 October 2018
Keywords: integratino, base metals, information transmission, lead, zinc, Aluminium, Tin

Identifiers

Local EPrints ID: 426714
URI: http://eprints.soton.ac.uk/id/eprint/426714
ISSN: 2405-8513
PURE UUID: fdb8eac6-74ad-453d-9822-a7cf6c7994aa
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 10 Dec 2018 17:32
Last modified: 28 Apr 2022 05:26

Export record

Altmetrics

Contributors

Author: Cetin Ciner
Author: Brian Lucey
Author: Larisa Yarovaya ORCID iD

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×