LME and SHFE Base Metal Futures Price Spillover Data, 2017–2024

Daily price data for copper, nickel, aluminum, and zinc futures from the London Metal Exchange and Shanghai Futures Exchange between 2017 and 2024. The dataset was created by Cunhai Pan and published on figshare in April 2026 to analyze dynamic price spillovers using a Time-Varying Parameter Vector Autoregressive model. It includes R code for replicating the analysis published in PLOS ONE.

Use Cases

• Modeling time-varying price spillovers between global and Chinese metal markets based on the TVP-VAR frequency-based connectedness approach described.
• Analyzing the impact of global events like the COVID-19 pandemic and the 2022 nickel short squeeze on market leadership.
• Quantifying the contribution of one exchange to another's price variance, as demonstrated for copper (42.82% LME contribution to SHFE).
• Investigating the dominance of short-term spillover effects, where the SHFE absorbs 36.87% of short-term net effects.

Strengths

• Data covers a 7-year period (2017–2024) spanning multiple major global events.
• Includes specific quantitative results from the analysis, such as the 42.82% contribution of LME copper to SHFE variance.
• Published with associated R code for full reproducibility of the PLOS ONE study.

Limitations

• Column-level documentation is absent; field semantics must be inferred after download.
• Row count is unknown, which may limit suitability assessment.
• The dataset is very small (72.6 KB), indicating limited raw data or a focus on analysis code.

Provenance

Source

figshare, author Cunhai Pan.

Collection Method

Likely collected from the London Metal Exchange and Shanghai Futures Exchange.

Time Range

2017–2024

Freshness

Last updated 2026-04-09 17:28:22; freshness should be verified.

Geography

Global, with focus on London and Shanghai exchanges.