Asymmetric Momentum Threshold Effect of Copper Futures Returns on Spot Returns Volatility in London Metals Exchange under High Volatility

Yeong Jia Goo; Chih Chang Chen

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Asymmetric Momentum Threshold Effect of Copper Futures Returns on Spot Returns Volatility in London Metals Exchange under High Volatility

机译：高波动下伦敦金属交易所铜期货收益对现货收益波动的非对称动量阈值效应

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This paper discusses the asymmetric momentum threshold effect of copper futures returns on spot returns volatility in the London Metal Exchange. Referring the Threshold Autoregressive (TAR) and Momentum Threshold Autoregressive (MTAR) models, this study utilizes a Hybrid MTAR-GARCH model to test the asymmetric momentum threshold effects of LME copper futures returns on spot returns volatility. It is revealed that there are indeed asymmetric momentum threshold effects of LME copper futures returns on spot returns volatility. This finding would be beneficial to financial decision-making concerning copper price hedging, arbitrage and investment amidst high volatility market conditions.

机译：本文讨论了伦敦金属交易所铜期货收益对现货收益波动率的非对称动量阈值影响。参照阈值自回归（TAR）和动量阈值自回归（MTAR）模型，本研究利用混合MTAR-GARCH模型来测试LME铜期货收益对现货收益波动率的非对称动量阈值影响。事实证明，伦敦金属交易所铜期货收益对现货收益波动率确实存在非对称的动量阈值影响。这一发现将有助于在高波动的市场条件下进行有关铜价对冲，套利和投资的财务决策。

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来源
《Modern Economy》 |2020年第1期|共11页
作者
Yeong Jia Goo; Chih Chang Chen;
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中图分类贸易经济;
关键词
ReturnsVolatilityAsymmetric EffectHybrid MTAR-GARCH;

机译：收益率波动非对称效应混合MTAR-GARCH;

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1. Return Distributions and Volatility Forecasting in Metal Futures Markets: Evidence from Gold, Silver, and Copper [J] . AHMED A. A. KHALIFA, HONG MIAO, SANJAY RAMCHANDER Journal of futures markets . 2011,第1期

机译：金属期货市场的收益分布和波动率预测：来自黄金，白银和铜的证据
2. The asymmetric effects of industry specific volatility in momentum returns [J] . Badreddine Sina, Clark Ephraim International journal of finance & economics . 2021,第4期

机译：产量特异性波动率在动量回报中的不对称效应
3. The impact of US monetary policy uncertainties on oil and gas return volatility in the futures and spot markets [J] . Razmi Seyedeh Fatemeh, Behname Mehdi, Bajgiran Bahareh Ramezanian, Journal of Petroleum Science & Engineering . 2020,第1期

机译：美国货币政策不确定性对期货和现货市场石油和天然气返回波动的影响
4. Are Returns of Copper Futures in London Metal Exchange Chaotic and Long-Memory? An Empirical Analysis with Close Returns Test [C] . Wang Xin-yu, Song Xue-feng . 2006

机译：伦敦金属交易所铜期货的收益是否混乱而长存？收盘收益检验的实证分析
5. Forecasting conditional volatility of returns by using the relationship among returns, trading volume, and open interest in commodity futures markets [D] . Lee, Sang-Hak 2005

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6. Range-based volatility, expected stock returns, and the low volatility anomaly [O] . Benjamin M. Blau, Ryan J. Whitby 2011

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7. Modelling conditional correlations in the volatility of Asian rubber spot and futures returns [O] . Chang, Chia-Lin, Khamkaew, Thanchanok, McAleer, Michael, 2014

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Asymmetric Momentum Threshold Effect of Copper Futures Returns on Spot Returns Volatility in London Metals Exchange under High Volatility

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