ABSTRACT Copper is considered one of the most important minerals in the world; however, most of the finance literature focus on determining the relationship between changes in gold spot prices and mining stock returns. To fill this literature gap, we analyze the impact of changes in copper spot and futures prices on the stock returns of copper mining firms. Considering a sample of high market-cap firms, we find evidence of a positive but inelastic relationship between copper stock returns and changes in copper prices. Additionally, we determine that the 2008–2009 global crisis influenced investors’ decisions thus generating a negative impact on copper stock returns. Finally, we provide evidence to reject the hypothesis of integrated markets; indeed, changes in copper prices have a larger impact on stock returns of copper mining firms traded in more developed markets (New York, Toronto, and London) compared with stocks traded in a less developed one (Lima).