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The financialization of Chinese commodity markets

Baochen Yang, Yingjian Pu and Yunpeng Su

Finance Research Letters, 2020, vol. 34, issue C

Abstract: This study investigates the financialization of China's futures market from a market-integration perspective. First, this study examines the integration between the commodity market and financial capital markets (stock/bond/foreign exchange markets) by using multivariate GARCH models. We find that China's commodity futures market, especially the energy futures market, has financialization phenomenon. Moreover, the energy futures market plays a leading role in the integration between the commodity and stock markets. Considering that commodity market financialization is intimately associated with financial investment, this study analyzes the optimal intermarket risk hedging and asset allocation strategies between commodities and financial assets during its financialization.

Keywords: China's commodity futures market; Financialization; Market integration; Dynamic hedging; Portfolio management (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319307512

DOI: 10.1016/j.frl.2020.101438

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