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.
Lei et al. (Sat,) studied this question.