Daily Returns for LME and SHFE Base Metal Futures, 2017-2024

5.5 KB of summary statistics for logarithmic daily returns of copper, nickel, aluminum, and zinc futures from the London Metal Exchange and Shanghai Futures Exchange. The dataset, created by Cunhai Pan and last updated in April 2026, supports analysis of dynamic price spillovers between these two major markets over an eight-year period.

Use Cases

• Modeling time-varying volatility spillovers based on daily return data for four base metals
• Analyzing the influence of global events like the 2022 nickel short squeeze on market dynamics
• Comparing the price leadership role of the LME versus the SHFE as described in the study
• Investigating short-term versus long-term connectedness effects between international futures exchanges

Strengths

• Covers an eight-year time range from 2017 to 2024, capturing recent global events
• Focuses on four major industrial metals: copper, nickel, aluminum, and zinc
• Data is associated with a specific analytical method (TVP-VAR frequency-based connectedness) described in the paper

Limitations

• Row count and column-level documentation are unknown, limiting suitability assessment
• The 5.5 KB file size suggests a very limited scope, likely containing aggregated statistics rather than raw price series

Provenance

Source

figshare, author Cunhai Pan

Collection Method

Likely derived from daily futures price data from the London Metal Exchange and Shanghai Futures Exchange

Time Range

2017-2024

Freshness

Last updated 2026-04 09 17:28:28

Geography

Global, with focus on London and Shanghai exchanges