Journal
APPLIED ECONOMICS
Volume 52, Issue 54, Pages 5909-5920Publisher
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
DOI: 10.1080/00036846.2020.1781769
Keywords
Spillover effects; futures markets; multivariate GARCH; SHFE
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Funding
- Korea Institution of Geoscience and Mineral Resources [KIGAM] [20-3214]
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This study investigates changes in return and volatility spillovers between the LME/COMEX and the SHFE copper futures markets before and after the global financial crisis and after the introduction of the night trading session (NTS) to the SHFE using asymmetric multivariate GARCH models. The results show that the SHFE has not been stronger to the LME/COMEX in information spillover effects, even though it has grown substantially in terms of trading volume after the crisis. Furthermore, the SHFE does not seem to have a significant influence on international copper futures prices although the Chinese government allowed the NTS to the SHFE.
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