Cross-correlations between spot and futures markets of nonferrous metals

نویسندگان

  • Li Liu
  • Yudong Wang
چکیده

In this paper, we investigate cross-correlations between nonferrousmetal spot and futures markets using detrended cross-correlation analysis (DCCA). We find the existence of significant cross-correlations for both return and volatility series. The DCCA-based crosscorrelation coefficients are very high and decrease with the futures maturity increases. Using the multifractal extension of DCCA, the multifractality in cross-correlations is revealed.We also detect the source of cross-correlations between spot and futuresmarkets. We use the vector error correction model and bivariate BEKK–GARCH to model the interactions between returns and volatilities of spot and futures, respectively. Our findings indicate that the volatility spillover between spot and futures markets contributes major to nonlinear cross-correlation while the contribution of mean spillover is very minor. © 2014 Elsevier B.V. All rights reserved.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Preliminary Inter-Temporal Volatility Spillovers and Price Dynamics Within and Between Spot and Futures Stock Markets

Formative studies have thoroughly examined causality within and between different spot and futures markets with a motivation to discover market co-movements, price leadership effects, and more recently, volatility spillovers across markets. However, the empirical framework within which this has been accomplished has neither analysed foreign spillover effects upon a spot / futures relationship n...

متن کامل

Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data

The cross-correlation between the China Securities Index 300 (CSI 300) index futures and the spot markets based on high-frequency data is discussed in this paper. We empirically analyze the cross-correlation by using themultifractal detrended cross-correlation analysis (MF-DCCA), and investigate further the characteristics of asymmetry, frequency difference, and transmission direction of the cr...

متن کامل

بررسی روابط قیمتی نفت خام در بازارهای اسپات و آتی‌ها بر اساس ریسک مبنا و ذخیره ی نفت خام با استفاده از مدل‌ GARCH

The crude oil is both a commodity and a financial asset. As there are many factors affecting the crude oil spot and futures markets, the analysis of the relationship between major factors of these markets is complicated. The main objective of this paper is to investigate the relationship between the price of crude oil in spot and futures market and identify the effect of the crude oil inventory...

متن کامل

DEPARTMENT OF ECONOMICS AND FINANCE COLLEGE OF BUSINESS AND ECONOMICS UNIVERSITY OF CANTERBURY CHRISTCHURCH, NEW ZEALAND Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns

Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are not only subject to changes in demand, but also to speculation regarding future markets. Japan and Singapore are the major futures markets for rubber, while Thailand is one of the world's largest producers of rubber. As rubber prices are influenced by external markets, it...

متن کامل

Modelling conditional correlations in the volatility of Asian rubber spot and futures returns

Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are not only subject to changes in demand, but also to speculation regarding future markets. Japan and Singapore are the major futures markets for rubber, while Thailand is one of the world's largest producers of rubber. As rubber prices are influenced by external markets, it...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2015