Spillover effects among iron ore, coke, and rebar futures markets from a time-frequency domain perspective

This paper explores the spillover effects among iron ore, coke, and rebar futures markets in China through both static and dynamic analyses. The study reveals significant spillover effects, which exhibit a decreasing trend over time. Rebar futures emerge as a pivotal player in the transmission of these spillovers, with short-term spillovers contributing the most to the total spillover. Interestingly, iron ore futures have transitioned from a transmitting to a receiving role post-2020, whereas rebar futures consistently serve as transmitters of spillovers. These findings offer a deeper understanding of market dynamics and risk management within the steel production chain futures markets.