Co-movements in Minor Metal Prices at Different Frequency and Time Period

Abstract

The increasing importance of minor metals in cutting-edge technologies and high volatility of their prices make a precise examination of co-movement in minor metal prices extremely important. This paper investigates co-movements in minor metal prices at different frequency and time period. The novelty of our method lies in the application ofwavelets analysis and Toeplitz inverse covariance-based clustering to minor metal prices. We show that most of low-frequency co-movements are limited to a certain group of minor metals and the distribution of their structural breaks are closely related to important international events. High-frequency co-movements in minor metal prices are relatively stable during 2008 and 2013 and mainly perform as two types of co-movements. Moreover, during other periods, high-frequency co-movements in minor metal prices shifts among several types of co-movements. These findings equip policymakers with a framework to preempt supply chain disruptions, enable manufacturers to develop dynamic inventory strategies responsive to co-movement regimes, and provide investors with frequency-aware hedging tools tailored for minor metal portfolios.

Keywords

Minor metal price / co-movement / frequency / time period

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