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A leader of the world commodity futures markets in the making? The case of China's commodity futures

Listed author(s):
  • Fung, Hung-Gay
  • Tse, Yiuman
  • Yau, Jot
  • Zhao, Lin
Registered author(s):

    We use the daily data of 16 commodity futures contracts traded in China and corresponding foreign markets (the US, the UK, Japan, and Malaysia) to analyze the linkages between markets. Several findings are noteworthy. First, trading returns of foreign markets, such as the US, have significant impact on China's overnight (close-to-open) returns and vice-versa. Second, daytime (open-to-close) returns of many Chinese commodity futures contracts are not led by foreign daytime returns. Finally, the close-to-close returns analysis suggests that there are no significant lead-lag relationships between the Chinese and foreign markets. These results suggest that (1) the Chinese commodity futures markets are information-efficient, and (2) they are likely to be driven by local market dynamics occurring during the daytime trading session.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1057521913000021
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    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 27 (2013)
    Issue (Month): C ()
    Pages: 103-114

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    Handle: RePEc:eee:finana:v:27:y:2013:i:c:p:103-114
    DOI: 10.1016/j.irfa.2013.01.001
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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