Abstract
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.
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Acknowledgements
We would like to thank the reviewers for all comments and suggestions.
Funding
The financial support provided by both the Major projects of National Natural Science Foundation of China (research on supply security and management policy of strategic key mineral resources in the new era, Grant No.71991482) and the Ministry of Education Humanities and Social Sciences Research Planning Fund Project of China (the study of security risk measurement and benefit evaluation of China’s outward mining investment in the context of “One Belt One Road,” Grant No.19YJA790027).
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Shuifeng Hong put forward the main research points; Shuifeng Hong and Mengya Li completed the manuscript writing and revision; Mengya Li completed the simulation reseach; Shuifeng Hong, Mengya Li, and Yimin Luo revised the grammar and expression. All authors contributed to the manuscript revision, read, and approved the submitted version.
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Hong, S., Li, M. & Luo, Y. Multiple time-scales analyses of nickel futures and spot markets volatility spillovers effects. Miner Econ 37, 25–34 (2024). https://doi.org/10.1007/s13563-023-00389-9
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DOI: https://doi.org/10.1007/s13563-023-00389-9