洪水峰：Multiple time‑scales analyses of nickel futures and spot markets.

我校经济管理学院洪水峰老师在T3级别期刊——《Mineral Economics》上发表题为“Multiple time‑scales analyses of nickel futures and spot markets”。论文第一作者洪水峰为经济管理学院副教授。

Abstract /摘要：

To investigate the variations in price volatility spillover effects on different time scales across the LME, SMM, and Chinese spot nickel markets. This study uses data from the London Metal Exchange (LME), Shanghai Nonferrous Metals (SMM) nickel daily closing prices, and Chinese nickel daily market prices from April 1, 2015, to September 30, 2022, to categorize the above three markets’ yield series into four-time scales: very short, short, medium, and long term. The multivariate BEKK-GARCH approach is then used to analyze the spillover effects at different time scales. The study’s findings reveal that (1) the LME, SMM, and spot nickel prices are all impacted by external shocks and inherent volatility at all time scales; (2) at the very short time scale, there is a two-way volatility spillover effect between the SMM nickel and the other two markets, in addition, a one-way volatility spillover effect between the LME and spot nickel price; (3) at the short time scale, the volatility spillover effect between the LME and spot nickel price disappears; (4) at the medium-term time scale, there is no volatility spillover effect between the LME, SMM, and spot nickel price; (5) at the long-term time scale, the SMM has a volatility spillover effect on spot nickel price.

Title/题目:

Multiple time‑scales analyses of nickel futures and spot markets

Authors/作者:

Hong, Shuifeng；Li, Mengya;Luo, Yimin

Keywords /关键词

Nickel futures spot；Multiscale；Price volatility；Spillover effects；BEKK-GARCH

DOI:10.1007/s13563-023-00389-9

全文链接：

https://libproxy.cug.edu.cn/https/443/com/springer/link/yitlink/article/10.1007/s13563-023-00389-9