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A note on the behavior of Chinese commodity markets

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  • Fan, John Hua
  • Todorova, Neda

Abstract

This study investigates the presumed behavioral biases of market participants in the commodity futures markets of China. In light of unique institutional settings and excessive speculation, we document the presence of positive feedback trading, noise trading and herd mentality in a large sample of 24 commodities with the highest trading intensity. Our findings shed light on the effectiveness of price limits and explain the remarkable profitability of momentum strategies.

Suggested Citation

  • Fan, John Hua & Todorova, Neda, 2021. "A note on the behavior of Chinese commodity markets," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319311626
    DOI: 10.1016/j.frl.2019.101424
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    References listed on IDEAS

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    Cited by:

    1. Wang, Jying-Nan & Lee, Yen-Hsien & Liu, Hung-Chun & Lee, Ming-Chih, 2022. "The determinants of positive feedback trading behaviors in Bitcoin markets," Finance Research Letters, Elsevier, vol. 45(C).
    2. Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021. "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, vol. 78(C).
    3. Bentes, Sónia R., 2023. "Is gold a safe haven for the CIVETS countries under extremely adverse market conditions? Some new evidence from the MF-DCCA analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 623(C).
    4. Li, Jingyu & Liu, Ranran & Yao, Yanzhen & Xie, Qiwei, 2022. "Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-19," Resources Policy, Elsevier, vol. 77(C).
    5. Liu, Zhenya & Lu, Shanglin & Li, Bo & Wang, Shixuan, 2023. "Time series momentum and reversal: Intraday information from realized semivariance," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 54-77.

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