A note on the behavior of Chinese commodity markets

John Hua Fan and Neda Todorova

Finance Research Letters, 2021, vol. 38, issue C

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.

Keywords: Quantile regression; China; Noise; Volatility; Herding; Commodity futures (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319311626

DOI: 10.1016/j.frl.2019.101424

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