Volatility Spillover in Chinese Steel Markets

2017 International Symposium on Application of Materials Science and Energy Materials

材料科学;能源学

Fang, Wen^1

School of Economics and Management, Xidian University, Xi'an, China^1

关键词: B2b e-markets;    Efficient protections;    Electronic market;    GARCH models;    Information flows;    Spillover effects;    Steel markets;    Volatility spillovers;   

Others  :  https://iopscience.iop.org/article/10.1088/1757-899X/322/5/052056/pdf
DOI  :  10.1088/1757-899X/322/5/052056

学科分类：材料科学（综合）

来源: IOP

【 摘 要 】

This paper examines volatility spillover in Chinese steel markets by comparing spillover effects before and after steel futures market established and finds some interesting change. Volatility spillover method based on multi-GARCH model are proposed. The results show that there is significant proof for spillover effects from B2B electronic market to spot market, and two-way effects between futures and spot market. Market policy planners and practitioners could make decisions according to the master of spillovers. We also find that B2B e-market and futures market can both provide efficient protection against steel price volatility risk, B2B e-market offer a broad-based platform for trading steel commodities over time and space since e-market role in information flow process is dominant.