IDEAS home Printed from https://ideas.repec.org/a/eee/eneeco/v134y2024ics0140988324002858.html
   My bibliography  Save this article

Exploring the relationship between Chinese crude oil futures market efficiency and market micro characteristics

Author

Listed:
  • Zhu, Bangzhu
  • Tian, Chao
  • Wang, Ping

Abstract

This paper uses daily frequency data spanning from March 26, 2018 to February 3, 2023, and combines the exponential generalized autoregressive conditional heteroskedasticity in mean (EGARCH-M) model with the time-varying parameters state-space (TVPSS) model to dynamically test the efficiency of the Chinese crude oil futures market (CCOFM). Additionally, the paper examines the relationship between market efficiency and market micro characteristics such as market depth, market liquidity, noise trading, speculation rate, and information asymmetry. The results show that the CCOFM exhibited weak-form efficiency in June 2020, which lasted until the end of February 2022, and after that, the efficiency showed a poor development trend. Analyzed from the macro level, the Market Maker System and Trader Suitability System have a positive effect on market efficiency, while the Russian-Ukrainian conflict has a negative effect on market efficiency. Analyzed from the micro level, market depth and information asymmetry have a positive effect on market efficiency, while the speculation rate has a negative effect on market efficiency, and noise trading and market liquidity have no significant effect on market efficiency. Market efficiency has a positive effect on market depth and a negative effect on speculation rate. Market liquidity and noise trading have a positive effect on speculation rate, while both information asymmetry and market liquidity have a negative effect on noise trading. In addition, speculation rate has a weak negative effect on information asymmetry, and market depth and speculation rate have a weak positive effect on market liquidity. This study provides theoretical support and decision-making foundation for the development of CCOFM by dynamically exploring the relationship between CCOFM efficiency and micro characteristics.

Suggested Citation

  • Zhu, Bangzhu & Tian, Chao & Wang, Ping, 2024. "Exploring the relationship between Chinese crude oil futures market efficiency and market micro characteristics," Energy Economics, Elsevier, vol. 134(C).
    • Handle: RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002858
    DOI: 10.1016/j.eneco.2024.107577
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0140988324002858
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.eneco.2024.107577?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002858. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.