摘要
This study reveals the time-varying spillover effects of higher moments(realized volatility,realized skewness and realized kurtosis)and jumps between China’s precious metals and industrial metals markets.Using 5-min high-frequency data from May 10,2012 to October 21,2021,the dynamic effects of spillovers are uncovered using the time-frequency domain spillover index framework.The results show that the system connectedness weakens as the moment order gets higher whereas the total jumps connectedness is the smallest,and the spillovers of all estimators are more evident in the short term.The overall information spillovers are time-varying and influenced by major market events.Specifically,for realized volatility,copper is the largest net transmitter and silver is always a net transmitter,while zinc is the largest net receiver.For realized skewness,copper is the largest net transmitter and silver is always a net transmitter,while lead is the largest net receiver.For realized kurtosis and jumps,copper is the largest net transmitter,while aluminum is the largest net receiver.Overall,copper and silver play dominant roles in China’s precious and industrial metals markets system.
揭示中国贵金属和工业金属市场的高阶矩(已实现波动,已实现偏度和已实现峰度)和跳跃的时变溢出效应。使用2012年5月10日至2021年10月21日的5-min高频数据,并基于时频域溢出指数框架揭示溢出的动态效应。研究结果表明,系统连通性随着高阶矩阶数的增加而减弱,而总跳跃连通性最小,且所有指标的溢出效应均在短期更加显著。系统总信息溢出随时间变化并受重大市场事件的影响。具体而言,对于波动溢出,铜是最大的净发出者,银始终是时域和频域上的净发出者,而锌是最大的净接收者;对于偏度溢出,铜是最大的净发出者,银始终是时域和频域上的净发出者,而铅是最大的净接收者;对于峰度溢出和跳跃溢出,铜是最大的净发出者,而铝是最大的净接收者。总体上,铜和银在中国贵金属和工业金属市场中占据主导地位。
基金
the financial support from the National Natural Science Foundation of China(No.72172107)。
作者简介
Corresponding author:Bai-sheng SHI,Tel:+86-18684913712,E-mail:Shibaisheng@whu.edu.cn。
