An Empirical Study on Volatility Spillover of Non-ferrous Metal Stock Markets Based on EMD-BEKK-GARCH Model

Abstract

Abstract: The COVID-19 pneumonia epidemic broke out in January 2020. With the strengthening of the prevention and control policy and stop of production, the real economy in the worldwide was hit, and China’s economy and finance were greatly affected. As a major producer and consumer of non-ferrous metal, China’s financial market of non-ferrous metals such as lead, zinc, aluminum and copper has been impacted by the epidemic and declined to a large extent. To study the volatility spillover of China’ s non-ferrous metal stock markets during the epidemic from the perspective of different timescale, this paper selects the stock market indexes of aluminum, copper and lead-zinc, and combines empirical mode decomposition (EMD) with BEKK-GARCH model. The results show that there are different degrees of volatility spillovers among aluminum, copper and lead-zinc in the long-term, medium-term and short-term. Comparing the volatility spillovers of undivided series, EMD provides more information of different timescale, which strengthens our research on the relationship between these markets.

Key words: COVID-19 pneumonia epidemic, non-ferrous metal stock market, empirical mode decomposition, BEKK-GARCH, volatility spillover

Yang Guang, Zhang Dingxuan, Wei YunJie. An Empirical Study on Volatility Spillover of Non-ferrous Metal Stock Markets Based on EMD-BEKK-GARCH Model[J]. Management Review, 2022, 34(12): 39-48.

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