Author(s)

Yeong Jia Goo, Chih Chang Chen^*

Department of Business Administration, National Taipei University, New Taipei City.

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.

Returns, Volatility, Asymmetric Effect, Hybrid MTAR-GARCH

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.