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Examining the metal futures price discovery in China from multi-scale time

Author

Listed:
  • Yongguang Zhu

    (China University of Geosciences
    China University of Geosciences)

  • Ya Li

    (China University of Geosciences)

  • Yuna Gong

    (China University of Geosciences)

  • Deyi Xu

    (China University of Geosciences
    China University of Geosciences)

Abstract

Metal mineral resources are important raw materials in industrial production, and metal as an important object in the futures market, its discovery function is an important sign to measure the level of market development. The price of metal futures market has the characteristics of high-frequency data, and the mechanism of price discovery in different frequencies needs to be realized by time series decomposition method. In this paper, the complementary ensemble empirical mode decomposition with adaptive noise vector autoregressive model is constructed to re-examine the price discovery of nonferrous metal futures from the aspects of multilevel, multi-subject, and different volumes. Four typical nonferrous metals are selected for empirical research in China. The results show that price discovery exists in China's nonferrous metal futures market. Meanwhile, there are significant differences in the functional efficiency of typical metal prices under different time scales. The volume of contracts will greatly affect the efficiency of price discovery. Finally, we also find that futures prices affect spot prices, but spot prices do not affect futures prices.

Suggested Citation

  • Yongguang Zhu & Ya Li & Yuna Gong & Deyi Xu, 2024. "Examining the metal futures price discovery in China from multi-scale time," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 37(1), pages 173-188, March.
    • Handle: RePEc:spr:minecn:v:37:y:2024:i:1:d:10.1007_s13563-024-00430-5
    DOI: 10.1007/s13563-024-00430-5
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    More about this item

    Keywords

    Price discovery; Nonferrous metal; CEEMDAN-VAR; Future market;
    All these keywords.

    JEL classification:

    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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