The time‐varying volatility spillover effects between China's coal and metal market

This study employs a time‐varying parameter vector autoregression methodology with the Diebold and Yilmaz spillover index to scrutinize the temporal fluctuations in volatility spillovers between the Chinese coal and metal markets. The analysis is conducted from the dual perspectives of security indices and futures prices. The findings reveal a robust correlation between the coal and metal markets, with the coal market serving as a primary conduit for volatility spillover into the metal market. Furthermore, this study investigates the time‐specific impacts of coal decommissioning policies, the COVID‐19 pandemic, and the coal supply crisis on the coal–metal market volatility spillovers. The findings indicate that these three unique shocks significantly increase the overall risk spillover index between the coal and metal markets. Moreover, during these exceptional events, the extent or role of risk spillover in the coal–metal market undergoes varying degrees of change. On the basis of these findings, this article presents pertinent policy recommendations.