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China’s crude oil futures: Introduction and some stylized facts

Qiang Ji () and Dayong Zhang ()

Finance Research Letters, 2019, vol. 28, issue C, 376-380

Abstract: The launching of China’s first crude oil futures contract has marked the start of a new era in the international energy market. Using high frequency transaction data in the first two trading months since its inception in March 2018, this paper seeks to present some fresh and interesting stylized facts about this new comer. Evidence shows that, first, significant jumps exist in the realized volatility; Second, trading volumes have shown clear multiple u-shape patterns, which is consistent with the literature on intraday seasonality. Finally, we document a statistically significant return-volume relationship in the market.

Keywords: China’s crude oil futures; High-frequency data; Intraday seasonality; Realized volatility (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/

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Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:376-380