Proceedings of the 5th International Conference on Economic Management and Big Data Application (ICEMBDA 2024)

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Identification and Contagion Study of Price Bubbles in Bulk Nonferrous Metals

Authors
Yu Zhao1, 2, Juntao Zhang2, *, Deqing Zeng2
1School of Economics and Management, East China University of Technology, ’, 330013, China
2Resources and Environmental Economics Research Centre, East China University of Technology, ’, 330013, China
*Corresponding author. Email: 1904148823@qq.com
Corresponding Author
Juntao Zhang
Available Online 30 December 2024.
DOI
10.2991/978-94-6463-638-3_5How to use a DOI?
Keywords
Nonferrous Metals; Price Bubbles; Price Risk; Backward Sup Augmented Dickey-Fuller
Abstract

Based on the daily price index samples of copper, aluminum, lead, zinc, and nickel in China from 2019 to 2023, this study employs the Backward Sup Augmented Dickey-Fuller test, R-Vine Copula model, Granger causality test, and vector autoregression model to investigate the statistical characteristics and contagion of price bubble risks in the domestic non-ferrous metal market. Additionally, the impact of the international geopolitical risk index on China’s non-ferrous metal price bubbles is explored. The research findings indicate that significant price bubbles exist in the copper, aluminum, zinc, and nickel markets in China. The non-ferrous metal market price bubbles are predominantly long-lasting, with the price bubble risk ranked from largest to smallest as aluminum, copper, zinc, and nickel. Regarding the contagion of price bubble risks, a price bubble in the copper market leads to price bubbles in the aluminum, zinc, and nickel markets. International geopolitical risks have a positive impact on the price bubbles of copper and aluminum in China, with the impact peaking within six trading days and diminishing to zero after nine trading days.

Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 5th International Conference on Economic Management and Big Data Application (ICEMBDA 2024)
Series
Advances in Economics, Business and Management Research
Publication Date
30 December 2024
ISBN
978-94-6463-638-3
ISSN
2352-5428
DOI
10.2991/978-94-6463-638-3_5How to use a DOI?
Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Yu Zhao
AU  - Juntao Zhang
AU  - Deqing Zeng
PY  - 2024
DA  - 2024/12/30
TI  - Identification and Contagion Study of Price Bubbles in Bulk Nonferrous Metals
BT  - Proceedings of the 5th International Conference on Economic Management and Big Data Application (ICEMBDA 2024)
PB  - Atlantis Press
SP  - 29
EP  - 37
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-638-3_5
DO  - 10.2991/978-94-6463-638-3_5
ID  - Zhao2024
ER  -