Co-movements Among China’s Precious Metals,Metals And Energy-Chemical Futures Markets Based On EEMD

As industrial basic raw materials,bulk commodities are important strategic materials for economic development and national security.For a long time,China has been the world’s largest trader and importer of bulk commodities,as well as the largest consumer of most bulk commodities.However,recent rapid,long-lasting and wide-ranging rise in domestic commodity futures prices have caused widespread concern.In this context,this paper investigates and analyzes the co-movements among China’s Precious Metals,Metals and Energy-Chemical futures markets in different time scales.It’s not only helps to deeply understand the internal linkage mechanism of China’s Precious Metals,Metals and Energy-Chemical futures markets,but also provides reference information for decision makers to formulate corresponding policies,which has very important theoretical and practical significance.Firstly,this paper reviews and summarizes the related researches on the linkage of commodity futures markets.Secondly,based on the Ensemble Empirical Mode Decomposition,China Precious Metals,Metals and Energy-Chemical futures index are decomposed and reconstructed,the short-term fluctuation,medium-term fluctuation and long-term trend which can describe the fluctuation characteristics of China’s Precious Metal,Metal and Energy-Chemical futures markets are obtained respectively.Finally,based on DCC-GARCH models to explore the dynamic correlation between China’s Precious Metals,Metals and Energy-Chemical futures markets in different time scales,and use the MST-DCC-GARCH network topology models to explore the co-movements of China’s Precious Metals,Metals and Energy-Chemical futures markets in different time scales.The empirical results show that the dynamic correlation between China’s Precious Metals,Metals and Energy-Chemical futures markets and the co-movements of the system are significantly time-varying and different in different time scales,and the co-movements of commodity futures markets is mainly dominated by long-term and medium-term components.On the one hand,from the perspective of the dynamic correlation between Precious Metals,Metals and Energy-Chemical futures markets,the dynamic correlation between short-term markets is relatively stable,among which the correlation between Metal and Energy-Chemical futures markets is high.In the medium term,the dynamic correlation between futures markets fluctuates widely and with high frequency.There is a strong correlation between long-term futures markets with significant trend.On the other hand,from the perspective of the systematic co-movements of Precious Metals,Metals and Energy-Chemical futures markets,the co-movements of the short-term futures markets is very weak;the co-movements of the medium-term futures markets has increased and showed irregular periodic fluctuations;the co-movements of the long-term futures markets is the strongest and show the trend of fluctuation."Black swan" events exacerbate the volatility of short-term and medium-term commodity futures markets.However,with the exception of the2018 Sino-US Trade War,which caused the long-term commodity futures markets fluctuate violently,other emergencies have basically no impact.In conclusion,the short-term and medium-term fluctuations of China’s precious metals,metals and energy futures markets are mainly affected by market contagion and the financialization of the commodity markets,while the long-term trend is mainly affected by economic fundamentals.To sum up,in the short and medium term,China’s Precious Metals,Metal and Energy-Chemical futures markets are mainly affected by market contagion and financialization of commodity markets,so regulators and investors need to focus on market sentiment and monetary policy-related information,while in the long term,they are mainly affected by economic fundamentals.Therefore,regulators and investors should focus on economic growth speed,transformation of economic growth pattern and information related to economic and financial policies.