Modern Economy

Volume 11, Issue 1 (January 2020)

ISSN Print: 2152-7245   ISSN Online: 2152-7261

Google-based Impact Factor: 0.74  Citations  h5-index & Ranking

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

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DOI: 10.4236/me.2020.111006    410 Downloads   989 Views  Citations

ABSTRACT

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.

Share and Cite:

Goo, Y. and Chen, C. (2020) Asymmetric Momentum Threshold Effect of Copper Futures Returns on Spot Returns Volatility in London Metals Exchange under High Volatility. Modern Economy, 11, 51-61. doi: 10.4236/me.2020.111006.

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