IDEAS home Printed from https://ideas.repec.org/a/eee/jrpoli/v74y2021ics0301420721002658.html
   My bibliography  Save this article

Time-varying spillovers and dependencies between iron ore, scrap steel, carbon emission, seaborne transportation, and China's steel stock prices

Author

Listed:
  • Ma, Yiqun
  • Wang, Junhao

Abstract

We have examined the time-varying price spillovers and dependencies between iron ore, scrap steel, carbon emissions, seaborne transportation, and China's steel stock by using price spillover and copula models to cover the period 2011–2020. More specifically, the Platts, the MBIOI, and the Chinese Iron Ore spot prices (CIOPI) are analyzed and compared. Our results show that of the three iron ore price indexes, the Platts is a primary contributor of price spillover and highly comparable with China's steel stock prices. The scrap steel, seaborne transportation, and carbon emission prices incur relatively low price spillovers and moderately link with China's steel stock prices. In addition, the time-varying price spillovers and links are sensitive to economic shocks stemming from China's policy implementation to cut overcapacity in steelmaking and the spread of coronavirus. Our results may suggest that the Platts is still the benchmark spot price in determining China's steel stock prices. The results might also guide market investors to hedge the financial risks in the commodity market and help policymakers design appropriate financialization policies for the iron ore and steel markets.

Suggested Citation

  • Ma, Yiqun & Wang, Junhao, 2021. "Time-varying spillovers and dependencies between iron ore, scrap steel, carbon emission, seaborne transportation, and China's steel stock prices," Resources Policy, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002658
    DOI: 10.1016/j.resourpol.2021.102254
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0301420721002658
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.resourpol.2021.102254?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Shahzad, Syed Jawad Hussain & Naifar, Nader & Hammoudeh, Shawkat & Roubaud, David, 2017. "Directional predictability from oil market uncertainty to sovereign credit spreads of oil-exporting countries: Evidence from rolling windows and crossquantilogram analysis," Energy Economics, Elsevier, vol. 68(C), pages 327-339.
    2. Park, Jungwook & Ratti, Ronald A., 2008. "Oil price shocks and stock markets in the U.S. and 13 European countries," Energy Economics, Elsevier, vol. 30(5), pages 2587-2608, September.
    3. Doko Tchatoka, Firmin & Masson, Virginie & Parry, Sean, 2019. "Linkages between oil price shocks and stock returns revisited," Energy Economics, Elsevier, vol. 82(C), pages 42-61.
    4. Xiarchos, Irene M. & Fletcher, Jerald J., 2009. "Price and volatility transmission between primary and scrap metal markets," Resources, Conservation & Recycling, Elsevier, vol. 53(12), pages 664-673.
    5. Aloui, Riadh & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2013. "A time-varying copula approach to oil and stock market dependence: The case of transition economies," Energy Economics, Elsevier, vol. 39(C), pages 208-221.
    6. Brahmasrene, Tantatape & Huang, Jui-Chi & Sissoko, Yaya, 2014. "Crude oil prices and exchange rates: Causality, variance decomposition and impulse response," Energy Economics, Elsevier, vol. 44(C), pages 407-412.
    7. Omura, Akihiro & Todorova, Neda & Li, Bin & Chung, Richard, 2016. "Steel scrap and equity market in Japan," Resources Policy, Elsevier, vol. 47(C), pages 115-124.
    8. Gan, Yu & Griffin, W. Michael, 2018. "Analysis of life-cycle GHG emissions for iron ore mining and processing in China—Uncertainty and trends," Resources Policy, Elsevier, vol. 58(C), pages 90-96.
    9. Fenech, Jean-Pierre & Vosgha, Hamed, 2019. "Oil price and Gulf Corporation Council stock indices: New evidence from time-varying copula models," Economic Modelling, Elsevier, vol. 77(C), pages 81-91.
    10. Lutz Kilian & Cheolbeom Park, 2009. "The Impact Of Oil Price Shocks On The U.S. Stock Market," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(4), pages 1267-1287, November.
    11. Lin, Boqiang & Su, Tong, 2020. "The linkages between oil market uncertainty and Islamic stock markets: Evidence from quantile-on-quantile approach," Energy Economics, Elsevier, vol. 88(C).
    12. Ma, Yiqun & Wang, Junhao, 2019. "Co-movement between oil, gas, coal, and iron ore prices, the Australian dollar, and the Chinese RMB exchange rates: A copula approach," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
    13. Husain, Shaiara & Tiwari, Aviral Kumar & Sohag, Kazi & Shahbaz, Muhammad, 2019. "Connectedness among crude oil prices, stock index and metal prices: An application of network approach in the USA," Resources Policy, Elsevier, vol. 62(C), pages 57-65.
    14. Peersman, Gert & Van Robays, Ine, 2012. "Cross-country differences in the effects of oil shocks," Energy Economics, Elsevier, vol. 34(5), pages 1532-1547.
    15. Prasad Bal, Debi & Narayan Rath, Badri, 2015. "Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India," Energy Economics, Elsevier, vol. 51(C), pages 149-156.
    16. Cunado, Juncal & Jo, Soojin & Perez de Gracia, Fernando, 2015. "Macroeconomic impacts of oil price shocks in Asian economies," Energy Policy, Elsevier, vol. 86(C), pages 867-879.
    17. Fasanya, Ismail & Akinbowale, Seun, 2019. "Modelling the return and volatility spillovers of crude oil and food prices in Nigeria," Energy, Elsevier, vol. 169(C), pages 186-205.
    18. Peng, Cheng & Zhu, Huiming & Guo, Yawei & Chen, Xiuyun, 2018. "Risk spillover of international crude oil to China's firms: Evidence from granger causality across quantile," Energy Economics, Elsevier, vol. 72(C), pages 188-199.
    19. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    20. Benhmad, François, 2012. "Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach," Economic Modelling, Elsevier, vol. 29(4), pages 1505-1514.
    21. Sim, Nicholas & Zhou, Hongtao, 2015. "Oil prices, US stock return, and the dependence between their quantiles," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 1-8.
    22. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
    23. Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2016. "Oil price and exchange rate in India: Fresh evidence from continuous wavelet approach and asymmetric, multi-horizon Granger-causality tests," Applied Energy, Elsevier, vol. 179(C), pages 272-283.
    24. François Benhmad, 2012. "Modeling Nonlinear Granger Causality between the Oil price and U.S Dollar," Post-Print hal-03062497, HAL.
    25. Nam T. Hoang & Bao H. Nguyen, 2018. "Oil and Iron Ore Price Shocks: What Are the Different Economic Effects in Australia?," The Economic Record, The Economic Society of Australia, vol. 94(305), pages 186-203, June.
    26. Lv, Xin & Lien, Donald & Chen, Qian & Yu, Chang, 2018. "Does exchange rate management affect the causality between exchange rates and oil prices? Evidence from oil-exporting countries," Energy Economics, Elsevier, vol. 76(C), pages 325-343.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zhou, Yuqin & Wu, Shan & Zhang, Zeyi, 2022. "Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network," Energy Economics, Elsevier, vol. 114(C).
    2. Chen, Jinyu & Liang, Zhipeng & Ding, Qian & Liu, Zhenhua, 2022. "Quantile connectedness between energy, metal, and carbon markets," International Review of Financial Analysis, Elsevier, vol. 83(C).
    3. Yang, Ming-Yuan & Chen, Zhanghangjian & Liang, Zongzheng & Li, Sai-Ping, 2023. "Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events," Journal of Commodity Markets, Elsevier, vol. 32(C).
    4. Guo, Ying & Zhou, Wenji & Ren, Hongtao & Yu, Yadong & Xu, Lei & Fuss, Maryegli, 2023. "Optimizing the aluminum supply chain network subject to the uncertainty of carbon emissions trading market," Resources Policy, Elsevier, vol. 80(C).
    5. He, Zhipeng & Zhang, Shuguang, 2024. "Risk contagion and diversification among sovereign CDS, stock, foreign exchange and commodity markets: Fresh evidence from G7 and BRICS countries," Finance Research Letters, Elsevier, vol. 62(PB).
    6. Wei, Jiangqiao & Ma, Zhe & Wang, Anjian & Li, Pengyuan & Sun, Xiaoyan & Yuan, Xiaojing & Hao, Hongchang & Jia, Hongxiang, 2022. "Multiscale nonlinear Granger causality and time-varying effect analysis of the relationship between iron ore futures and spot prices," Resources Policy, Elsevier, vol. 77(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ma, Yiqun, 2021. "Do iron ore, scrap steel, carbon emission allowance, and seaborne transportation prices drive steel price fluctuations?," Resources Policy, Elsevier, vol. 72(C).
    2. Ma, Yiqun & Wang, Junhao, 2019. "Co-movement between oil, gas, coal, and iron ore prices, the Australian dollar, and the Chinese RMB exchange rates: A copula approach," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
    3. Ma, Yiqun, 2021. "Dynamic spillovers and dependencies between iron ore prices, industry bond yields, and steel prices," Resources Policy, Elsevier, vol. 74(C).
    4. Yonghong Jiang & Gengyu Tian & Bin Mo, 2020. "Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-26, December.
    5. Kumar, Satish, 2019. "Asymmetric impact of oil prices on exchange rate and stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 41-51.
    6. Chen, Qitong & Zhu, Huiming & Yu, Dongwei & Hau, Liya, 2022. "How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    7. Youssef, Manel & Mokni, Khaled, 2020. "Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
    8. Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).
    9. Wei Qiang & Aimei Lin & Chao Zhao & Zhenhua Liu & Manzhi Liu & Xiaozhen Wang, 2019. "The impact of international crude oil price fluctuation on the exchange rate of petroleum-importing countries: a summary of recent studies," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 95(1), pages 227-239, January.
    10. Xiao, Jihong & Hu, Chunyan & Ouyang, Guangda & Wen, Fenghua, 2019. "Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach," Energy Economics, Elsevier, vol. 80(C), pages 297-309.
    11. Sheng Fang & Paul Egan, 2021. "Tail dependence between oil prices and China's A‐shares: Evidence from firm‐level data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1469-1487, January.
    12. Umar, Zaghum & Hadhri, Sinda & Abakah, Emmanuel Joel Aikins & Usman, Muhammad & Umar, Muhammad, 2024. "Return and volatility spillovers among oil price shocks and international green bond markets," Research in International Business and Finance, Elsevier, vol. 69(C).
    13. Jiang, Yonghong & Feng, Qidi & Mo, Bin & Nie, He, 2020. "Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    14. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Zhu, Bo, 2021. "Oil shocks and stock market volatility: New evidence," Energy Economics, Elsevier, vol. 103(C).
    15. Beckmann, Joscha & Czudaj, Robert L. & Arora, Vipin, 2020. "The relationship between oil prices and exchange rates: Revisiting theory and evidence," Energy Economics, Elsevier, vol. 88(C).
    16. Ben Cheikh, Nidhaleddine & Ben Naceur, Sami & Kanaan, Oussama & Rault, Christophe, 2021. "Investigating the asymmetric impact of oil prices on GCC stock markets," Economic Modelling, Elsevier, vol. 102(C).
    17. Gomez-Gonzalez, Jose E. & Hirs-Garzón, Jorge & Sanín-Restrepo, Sebastián, 2021. "Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality," International Economics, Elsevier, vol. 165(C), pages 37-50.
    18. Nusair, Salah A. & Olson, Dennis, 2019. "The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis," Energy Economics, Elsevier, vol. 78(C), pages 44-63.
    19. Huang, Shupei & An, Haizhong & Gao, Xiangyun & Wen, Shaobo & Hao, Xiaoqing, 2017. "The multiscale impact of exchange rates on the oil-stock nexus: Evidence from China and Russia," Applied Energy, Elsevier, vol. 194(C), pages 667-678.
    20. Huang, Shupei & An, Haizhong & Lucey, Brian, 2020. "How do dynamic responses of exchange rates to oil price shocks co-move? From a time-varying perspective," Energy Economics, Elsevier, vol. 86(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002658. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30467 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.