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

Hung-Gay Fung, Yiuman Tse, Jot Yau and Lin Zhao

International Review of Financial Analysis, 2013, vol. 27, issue C, 103-114

Abstract: 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.

Keywords: Trading and non-trading returns; Market linkages; Chinese futures markets (search for similar items in EconPapers)
JEL-codes: G13 G14 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:27:y:2013:i:c:p:103-114

DOI: 10.1016/j.irfa.2013.01.001

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