EconPapers    
Economics at your fingertips  
 

The untold story of commodity futures in China

John Hua Fan and Tingxi Zhang

Journal of Futures Markets, 2020, vol. 40, issue 4, 671-706

Abstract: We investigate the behavior of commodity futures risk premia in China. In the presence of retail‐dominance and barriers‐to‐entry, the term structure and momentum premia remain persistent, whereas hedging pressure, skewness, volatility, and liquidity premia are distorted by time‐varying margins and strict position limits. Furthermore, open interest, currency, and inflation premia are sensitive to institutional settings. The observed premia cannot be attributed to common risks, sentiment, transactions costs, or data‐snooping, but are related to liquidity, anchoring, and regulation‐induced limits‐to‐arbitrage. We highlight the distinctive features of Chinese futures markets and assess the challenges posed to theories of commodity risk premia.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
https://doi.org/10.1002/fut.22087

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:40:y:2020:i:4:p:671-706

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314
subscrip@blackwellpub.com

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery (contentdelivery@wiley.com).

 
Page updated 2024-12-29
Handle: RePEc:wly:jfutmk:v:40:y:2020:i:4:p:671-706