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Price Volatility, the Maturity Effect, and Global Oil Prices: Evidence from Chinese Commodity Futures Markets

Jing Ao () and Jihui Chen ()
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Jing Ao: Kent State University
Jihui Chen: Illinois State University

Journal of Economics and Finance, 2020, vol. 44, issue 4, No 1, 627-654

Abstract: Abstract We study the maturity effect using 41 major agricultural, industrial, and metal commodities traded in three Chinese futures exchanges between 2006 and 2015. After controlling for seasonality, year and product fixed effects, we find supportive evidence of the maturity effect in futures contracts for several agricultural products, but not for metal nor industrial products. To the best of our knowledge, this is the first comprehensive study to document the maturity effect of Chinese futures contracts.

Keywords: Futures Markets; Price Volatility; Chinese Commodity Futures (search for similar items in EconPapers)
JEL-codes: G13 G15 Q02 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s12197-019-09497-1

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