Dependence among metals and mining companies of the US and Europe during normal and crises periods

Abstract

We examine the dependence structure among the metals and mining companies of the US and Europe. We employ several dependency measures, comprising network dependency and spillover approaches, using daily data from May 14, 2010 to July 10, 2020. We estimate the minimum spanning tree and conduct sub-sample analyses for the European sovereign debt crisis and COVID19 pandemic lockdown periods. Our results show high dependence among US metals and mining stocks and no dependence among such companies based in Poland, the UK or Italy. During European crises, UK and Austrian metals and mining companies are shown to be major risk transmitters, whereas Austrian, US and Finnish companies are major recipients of spillover. We also observe a significant increase in the transmission effect from Austrian, US and Finnish companies during the COVID19 period. This study is the first to show spillover and contagion effects among the metals and mining companies of the US and Europe, and thus provides useful information for market players in this domain.