Evidence of arbitrage trading activity: The case of Chinese metal futures contracts

Yang Li and Robert Brooks ()

Emerging Markets Review, 2022, vol. 51, issue PB

Abstract: Several unique insights are documented based on a study of selected metal futures contracts traded in the U.S. and China. Based on our unique measures, we present intra market evidence that the U.S. gold and silver futures markets reflect a fully arbitraged market and U.S. copper nearly so. In contrast, the Chinese gold and silver futures markets appear to reflect an un-arbitraged market whereas the Chinese copper market is characterized as somewhat arbitraged. We explore various reasons for this evidence as well as document the differences in gold, silver, and copper futures markets between China and the U.S.

Keywords: Futures contracts; Arbitrage; Copper; China; Derivatives (search for similar items in EconPapers)
JEL-codes: G13 G15 G18 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:51:y:2022:i:pb:s1566014122000024

DOI: 10.1016/j.ememar.2022.100885

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