Korea Trade Review (무역학회지)

Korea Trade Research Association (한국무역학회)
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A Study on the Volatility Spillover Effect in International Non-Ferrous Metals Futures Price

국제 비철금속 선물가격의 변동성 전이효과에 관한 연구

  • Guo-Dong Yang (Department of International Trade, Dongguk University) ;
  • Yin-Hua Li (Department of International Trade, Dongguk University) ;
  • Rui Ma (Department of International Trade, Dongguk University)
  • 양국동 (동국대학교 국제통상학과 ) ;
  • 이은화 (동국대학교 국제통상학과 ) ;
  • 마예 (동국대학교 국제통상학과 )
  • Received : 2022.07.31
  • Accepted : 2022.08.29
  • Published : 2022.08.30
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Abstract

This study analyzed the volatility spillover effect between international non-ferrous metal futures markets using the BEKK-GARCH model. Statistical data are futures price data of copper (CU), aluminum (AL), nickel (NI), tin (SN) from Shanghai Futures Exchange (SHFE) and London Metal Exchange (LME) from April 1, 2015 to December 31, 2021. Combining the research results, first, in the case of copper, aluminum, and nickel, it was found that there was a two-way volatility spillover effect between the Shanghai and London markets, and the international influence of the London market was greater. Second, in the case of the tin, it was found that the Shanghai market has a volatility spillover effect on the London market from stage I, and it is strengthened in stage II. Third, in the case of nickel, it was found that there was a two-way volatility spillover effect in the first stage, but in the second stage, the London market had a unidirectional volatility spillover effect with respect to the Shanghai market. This study confirmed that China's influence in the international non-ferrous metal futures market is gradually increasing. In addition, it suggested that international investors can engage in arbitrage and hedging using China's non-ferrous metal futures market.

Keywords

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