کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1635686 1516959 2015 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Price linkage between Chinese and international nonferrous metals commodity markets based on VAR-DCC-GARCH models
موضوعات مرتبط
مهندسی و علوم پایه مهندسی مواد فلزات و آلیاژها
پیش نمایش صفحه اول مقاله
Price linkage between Chinese and international nonferrous metals commodity markets based on VAR-DCC-GARCH models
چکیده انگلیسی

Using VAR-DCC-GARCH model, the literature on commodity price was extended by exploring the co-movement between Chinese nonferrous metal prices and global nonferrous metal prices represented by the nonferrous metal prices from London Metal Exchange (LME). The results show that LME nonferrous metals prices still have a greater impact on Chinese nonferrous metals prices. However, the impact of Chinese nonferrous metals prices on LME nonferrous metals prices is still weak except for lead price. The co-movement of nonferrous metal prices between LME and China presents hysteretic nature, and it lasts for 7–8 trading days. Furthermore, the co-movement between LME nonferrous metals prices and Chinese nonferrous metals prices has the characteristics of time-varying, and the correlation of lead prices between LME and China is the more stable than all other nonferrous metals prices.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Transactions of Nonferrous Metals Society of China - Volume 25, Issue 3, March 2015, Pages 1020-1026