Metal prices made in China? A network analysis of industrial metal futures

In addition to being the world's greatest consumer and producer of industrial metals, China now also features the most actively traded industrial metal futures contracts worldwide. To examine China's role in the global price formation process of industrial metal futures markets, we use a s...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:The journal of futures markets 2020-09, Vol.40 (9), p.1354-1374
Hauptverfasser: Siklos, Pierre L, Stefan, Martin, Wellenreuther, Claudia
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:In addition to being the world's greatest consumer and producer of industrial metals, China now also features the most actively traded industrial metal futures contracts worldwide. To examine China's role in the global price formation process of industrial metal futures markets, we use a sample of 29 futures contracts traded on exchanges in the United States, the United Kingdom, India, and China. We estimate vector autoregressive models and conduct variance decompositions, which are then visualized in the form of networks. The results indicate that China, despite its role as key actor in both real and financial industrial metal markets, is a price taker.
ISSN:1096-9934
0270-7314
1096-9934
DOI:10.1002/fut.22125