Revisiting the interdependences across global base metal futures markets: Evidence during the main waves of the COVID-19 pandemic

This paper examines the correlation and connectedness across global base metal futures markets in the periods before and during the COVID-19 pandemic. We find that the impacts of the pandemic shock on the dynamic correlations between global commodity exchanges vary across futures markets, with significant structural breaks being detected in the underlying dynamic correlations at different stages of the pandemic. We document that stronger price signals were generated in the aggregate markets due to the pandemic shock, and the roles of copper and zinc futures as the pricing center in the global base metal markets increased during the pandemic period. Moreover, our findings show that the leading position of the London Metal Exchange in the global base metal futures pricing declined, while the pricing authority of the Shanghai Futures Exchange improved significantly during the pandemic time. Leveraging post-pandemic data, we identify interdependence structures amid some crucial geopolitical conflicts.