Against the backdrop of recent global events (including the COVID-19 pandemic, the Russia-Ukraine war, and escalating trade tensions), this paper revisits price linkages between the London Metal Exchange (LME) and the Shanghai Futures Exchange (SHFE) base metal futures markets. Utilizing a Time-Varying Parameter Vector Autoregressive (TVP-VAR) frequency-based connectedness approach, we analyze daily data (2017–2024) to uncover dynamic spillovers across copper, nickel, aluminum, and zinc. The results demonstrate that the LME maintains its role as the global pricing benchmark, particularly for copper (42.82% contribution to SHFE variance), while the SHFE remains a net receiver, with short-term effects dominating (e.g., the SHFE market absorbs 36.87% of the short-term net spillover effects). Despite China’s internationalization efforts, the SHFE’s price leadership has declined relative to its historical position, reflecting the combined effects of domestic structural adjustments, institutional frictions, and major global shocks. Both markets exhibit event-specific sensitivities: the LME’s influence surged during supply chain crises (e.g., 2022 nickel short squeeze), while the SHFE’s responsiveness is constrained by institutional barriers. These findings underscore the LME’s role as a global pricing benchmark and urge policymakers in emerging economies to enhance market resilience through regulatory coordination, market development, and improved market transparency.
Pan et al. (2026) studied this question.