Research on price transmission in Chinese mining stock market: Based on industry

ABSTRACT

The strong impact of COVID-19 on the global mining market has caused severe fluctuations in the prices of mineral products and mining stocks. Meanwhile, geopolitical conflicts have exacerbated risks in minerals trade and mining stock transactions. In the face of uncertainties in the international economic landscape and volatility of stock prices, China, as the world's major mineral trading country, has become increasingly linked between its stock market and the mining economy. To clarify the characteristics of mining stock price fluctuations and the evolution of the transmission relationships, and identify the key nodes and main paths of price transmission, we select 100 Chinese mining stocks from January 2019 to October 2022, distinguish them according to the industry category, and use Granger causality test, minimum spanning tree model and complex network analysis method to study. The results show that (1) Chinese mining stock prices have risen significantly since 2020, and there has been a "decoupling” phenomenon within the stock market, that is, the linkage between some mining stocks has weakened. (2) The stock price fluctuation characteristics and transmission effects of different mining industries are obviously different. Precious metal minerals (PM) have the most dramatic changes in price fluctuations, the most prominent hedging characteristics, and the rapid price response ability, which is the first to accept price transmission. rare earth and rare metal minerals (RE) are sensitive to price fluctuations and are usually the "leader” of the transmission path. Bulk non-ferrous minerals (BNFM) have the most stable price fluctuations and are closely related to other stocks, which is a "transit warehouse” in the transmission path. (3) The price transmission mechanism of Chinese mining stock market has gradually stabilized, and the main transmission paths of "Coal→Agricultural minerals (Agri)→BNFM→Steel” and "PM, Core minerals for new energy (NEM), and RE→BNFM” have been formed in 2022.