The post-crisis insight into nickel pricing on the London Metal Exchange

Marta Chylińska

Abstract

This study applies a VECM DCC-MGARCH on the daily sampled data for the nickel 3 month and spot contracts traded on the London Metal Exchange in the period January 2010–December 2017 to show that the futures and spot exhibit a common stochastic trend. Their spread is not co-integrating, however. The hypothesis stating that the price of futures contracts departures from their long run equilibrium relationship do not affect the current price of the contract is rejected for 3 month futures contract. Periods of an increased conditional variances are observed. Volatility of nickel prices has been reacting to the situation on financial markets, especially in May 2010 when European Union announced financial help to Greece which is regarded as one step of financial crisis. Next increase was observed in October 2011, when there was a next step in Greek financial crisis (the agreement to write-off the Greek Debt). At the beginning of 2014, the one of the nickel producing country, Indonesia, stopped the export of minerals. That resulted in significant increase in nickel prices and their volatility. The increase of conditional variances was also observed in 2015 when there was an oversupply in the nickel market as far as the US dollar strengthening. Nevertheless, their conditional correlation coefficient remain almost stable and close to unity.
Author Marta Chylińska (FM / DE)
Marta Chylińska,,
- Department of Econometrics
Pages51-57
Publication size in sheets0.5
Book Jajuga Krzysztof, Locarek-Junge Hermann, Orłowski Lucjan T., Staehr Karsten (eds.): Contemporary Trends and Challenges in Finance: proceedings from the 4th Wroclaw International Conference in Finance, Springer Proceedings in Business and Economics, 2019, Springer International Publishing, ISBN 978-3-030-15580-3, [978-3-030-15581-0], 225 p., DOI:10.1007/978-3-030-15581-0
Keywords in EnglishLondon Metal Exchange, nickel, futures pricing
DOIDOI:10.1007/978-3-030-15581-0_5
URL https://rd.springer.com/content/pdf/10.1007%2F978-3-030-15581-0_5.pdf
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 06-12-2019, ChapterFromConference
Publication indicators WoS Citations = 0
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