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2017 | OriginalPaper | Buchkapitel

Copper Price Discovery on COMEX, 2006–2015

verfasst von : Marta Chylińska, Paweł Miłobędzki

Erschienen in: Contemporary Trends and Challenges in Finance

Verlag: Springer International Publishing

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Abstract

We 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.

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Vorheriges Kapitel Are Major Currencies Hedges or Safe Havens for Polish Stocks and Bonds?

Nächstes Kapitel A Copula Approach to Backward-Looking Factors in Market Based Inflation Expectations

In case ϕ ₀ ≠ 0, ϕ ₁ ≠ 1, and ϕ ₂ ≠ 1 the expectations are biased.

Note that f _t+0,t = s _t

The results of these tests are available from the authors upon a request.

We have also tested for symmetric vs. asymmetric co-integration on copper futures spreads using the threshold co-integration approach of Enders and Siklos (2001) but cannot reject the null of symmetry for various adjustment processes. This yields that a symmetric VECM should properly exhibit the dynamics of copper futures prices.

The results of these tests are available from the authors upon a request.

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Titel: Copper Price Discovery on COMEX, 2006–2015
verfasst von: Marta Chylińska
Paweł Miłobędzki
Verlag: Springer International Publishing
Buch: Contemporary Trends and Challenges in Finance
Print ISBN: 978-3-319-54884-5

Electronic ISBN: 978-3-319-54885-2

Copyright-Jahr: 2017
DOI: https://doi.org/10.1007/978-3-319-54885-2_6