Copper price discovery on COMEX, 2006-2015
Marta Chylińska , Paweł Miłobędzki
AbstractWe estimate a VEC DCC-MGARCH model on the weekly sampled price series of 3 mostly traded copper futures on COMEX maturing within 2, 3 and 4 months in the period 4 Jan 2006–30 Dec 2015 and find that they are co-integrated and symmetrically revert to their long run equilibrium relation. We also reveal the existence of Granger causality running in both directions for all pairs of maturities. More interestingly, we observe 3 periods of an increased conditional volatility of the returns on copper futures resulting from the change of market sentiment that is due to the fall of risk appetite after the release of the April 2006 Global Financial Stability Report, the collapse of the Lehman Brothers Holdings Inc. in September 2008, as well as the next stage of the Greek financial crisis preceding the agreement to write-off 50% of the Greek debt in October 2011. At all times their conditional correlations remain almost stable and are close to one, however.
|Publication size in sheets||0.5|
|Book||Jajuga Krzysztof, Orlowski Lucjan T., Staehr Karsten (eds.): Contemporary trends and challenges in finance : proceedings from the 2nd Wroclaw International Conference in Finance, Springer Proceedings in Business and Economics, 2017, Springer, ISBN 978-3-319-54884-5, [978-3-319-54885-2], 333 p., DOI:10.1007/978-3-319-54885-2|
|Score||= 20.0, 28-01-2020, ChapterFromConference|
|Publication indicators||= 0|
|Citation count*||2 (2020-04-04)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.