Price linkage between Chinese and international nonferrous metals commodity markets based on VAR-DCC-GARCH models
(1. School of Business, Central South University, Changsha 410083, China;
2. School of Business Administration, South China University of Technology, Guangzhou 510641, China)
2. School of Business Administration, South China University of Technology, Guangzhou 510641, China)
Abstract: Using VAR-DCC-GARCH model, the literature on commodity price was extended by exploring the co-movement between Chinese nonferrous metal prices and global nonferrous metal prices represented by the nonferrous metal prices from London Metal Exchange (LME). The results show that LME nonferrous metals prices still have a greater impact on Chinese nonferrous metals prices. However, the impact of Chinese nonferrous metals prices on LME nonferrous metals prices is still weak except for lead price. The co-movement of nonferrous metal prices between LME and China presents hysteretic nature, and it lasts for 7-8 trading days. Furthermore, the co-movement between LME nonferrous metals prices and Chinese nonferrous metals prices has the characteristics of time-varying, and the correlation of lead prices between LME and China is the more stable than all other nonferrous metals prices.
Key words: price linkage; nonferrous metals commodity prices; Chinese metals commodity market; LME; co-movement; VAR model; DCC-GARCH model