Spillovers among China’s precious and industrial metals markets: Evidence from higher moments and jumps
(1. Business School, Hunan University, Changsha 410082, China;
2. School of Mathematics and Statistics, Central South University, Changsha 410083, China;
3. Economics and Management School, Wuhan University, Wuhan 430072, China)
2. School of Mathematics and Statistics, Central South University, Changsha 410083, China;
3. Economics and Management School, Wuhan University, Wuhan 430072, China)
Abstract: This study reveals the time-varying spillover effects of higher moments (realized volatility, realized skewness and realized kurtosis) and jumps between China’s precious metals and industrial metals markets. Using 5-min high-frequency data from May 10, 2012 to October 21, 2021, the dynamic effects of spillovers are uncovered using the time-frequency domain spillover index framework. The results show that the system connectedness weakens as the moment order gets higher whereas the total jumps connectedness is the smallest, and the spillovers of all estimators are more evident in the short term. The overall information spillovers are time-varying and influenced by major market events. Specifically, for realized volatility, copper is the largest net transmitter and silver is always a net transmitter, while zinc is the largest net receiver. For realized skewness, copper is the largest net transmitter and silver is always a net transmitter, while lead is the largest net receiver. For realized kurtosis and jumps, copper is the largest net transmitter, while aluminum is the largest net receiver. Overall, copper and silver play dominant roles in China’s precious and industrial metals markets system.
Key words: spillovers; precious metals; industrial metals; time-frequency domain analysis; higher moments; jumps