Effects of non-ferrous metal prices and uncertainty on industry stock market under different market conditions

Increasing financial attributes of non-ferrous metals after financialization and higher uncertainty lead to a more complicated stock market of non-ferrous metal industry, while no study has explored the relations among the three under a unified framework. This paper attempted to investigate the effects of non-ferrous metal prices and uncertainty on stock indices of non-ferrous metal industries in China under different market conditions. Results show that: (1) non-ferrous metal prices have positive impacts, indicating that the hedging effects of non-ferrous metals are weaker after financialization; (2) the impacts of uncertainty are negative at the mean level or bearish market, but positive under the bullish markets; (3) the impact strength of non-ferrous metal prices and uncertainty are stronger under lower and upper quantiles than intermediate quantile; (4) effects of non-ferrous metal prices and uncertainty are more significant and stronger after the global financial crisis in 2008. These findings imply the importance of non-ferrous metal prices and uncertainty for coping with fluctuations of non-ferrous metal stock markets, making investment portfolios, formulating targeted strategies, and maintaining financial security under different market conditions.