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Exogenous Shocks and Information Transmission in Global Copper Futures Markets

Authors


  • The authors acknowledge financial support from the National Natural Science Foundation of China (contract nos. 70831001 and 71173008). We thank Prof. Robert I. Webb for constructive and insightful suggestions and the seminar participants at the 2012 International Conference on Futures and Derivative Markets in Beijing for helpful comments.

Correspondence author, Department of Finance, School of Economics and Management, Beihang University, Beijing, China, 100191. Tel: +86-10-82316149, Fax: +86-10-82328037, e-mail: yinlibowsxbb@126.com

Abstract

Bivariate EGARCH models are used to investigate mean and volatility spillovers across major global copper futures markets before and after the Global Financial Crisis. We show that the overall magnitude and significance of information spillovers strengthen after the crisis. The exogenous shocks not only exhibit considerable information spillovers on copper futures markets but also enhance information transmission among them, including bi-directional mean and volatility spillovers and long-run equilibrium. Moreover, our results shed light on the growing importance of the Shanghai Copper futures market in information transmission.

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