How do price spillovers between natural gas and copper-aluminum markets differ in international vs. Chinese contexts?

To investigate time-varying spillover effects among the natural gas, copper, and aluminum markets and to compare heterogeneity between the Chinese and international markets, this paper constructs a DGC-t-MSV model. Based on Bayesian estimation and MCMC sampling, the model captures time-varying conditional volatilities and dynamic correlations, thereby quantifying bidirectional spillovers across markets. Research demonstrates that: (1) Two-way price spillovers exist between the international and Chinese natural gas, copper, and aluminum markets. Spillovers between international natural gas and metals are more pronounced. Price spillovers in these markets are not constant over time and exhibit asymmetry in various contexts. (2) Price spillovers between the international and Chinese natural gas and aluminum markets are significant. However, the correlation between natural gas and copper is even stronger. One-way spillover effects suggest that the copper and aluminum markets act as risk absorber. (3) Price spillover effects are more pronounced from the international natural gas market to the Chinese copper and aluminum markets, especially for aluminum. In mature markets, natural gas, copper, and aluminum exhibit lower volatility. However, spillover effects intensify under extreme risk conditions.