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Evidence of arbitrage trading activity: The case of Chinese metal futures contracts

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  • Li, Yang
  • Brooks, Robert

Abstract

Several unique insights are documented based on a study of selected metal futures contracts traded in the U.S. and China. Based on our unique measures, we present intra market evidence that the U.S. gold and silver futures markets reflect a fully arbitraged market and U.S. copper nearly so. In contrast, the Chinese gold and silver futures markets appear to reflect an un-arbitraged market whereas the Chinese copper market is characterized as somewhat arbitraged. We explore various reasons for this evidence as well as document the differences in gold, silver, and copper futures markets between China and the U.S.

Suggested Citation

  • Li, Yang & Brooks, Robert, 2022. "Evidence of arbitrage trading activity: The case of Chinese metal futures contracts," Emerging Markets Review, Elsevier, vol. 51(PB).
    • Handle: RePEc:eee:ememar:v:51:y:2022:i:pb:s1566014122000024
    DOI: 10.1016/j.ememar.2022.100885
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    References listed on IDEAS

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    Cited by:

    1. Brooks, Robert & Brooks, Joshua A., 2022. "Samuelson hypothesis and carry arbitrage: U.S. and China," Journal of International Money and Finance, Elsevier, vol. 128(C).
    2. Shaoqiang Ma & Min Fang & Xin Zhou, 2023. "China’s Embodied Copper Flow from the Demand-Side and Production-Side Perspectives," Sustainability, MDPI, vol. 15(3), pages 1-18, January.

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    More about this item

    Keywords

    Futures contracts; Arbitrage; Copper; China; Derivatives;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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