Exogenous Shocks and Information Transmission in Global Copper Futures Markets

Abstract

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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