EconPapers    
Economics at your fingertips  
 

Anatomy of Chinese Futures Markets

Ahmet Goncu and Yurun Yang

Journal of Finance and Investment Analysis, 2019, vol. 8, issue 2, 5

Abstract: In this study, the fundamental empirical characteristics of the Chinese futures markets, which includes all the liquid financial and commodity futures traded in mainland China, are analysed at different time scales. The comprehensive results for the whole range of products provide valuable insight for the market practitioners, academics, and regulators. Stylised facts from the stock markets such as serial correlation, volatility clustering, non-normality, gain/loss asymmetry, risk characteristics and structural dependences are characterised. Futures returns in the Chinese futures markets show certain similarities and also differences from the stock markets in terms of the stylised facts.

Date: 2019
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.scienpress.com/Upload/JFIA%2fVol%208_2_5.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spt:fininv:v:8:y:2019:i:2:f:8_2_5

Access Statistics for this article

More articles in Journal of Finance and Investment Analysis from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().

 
Page updated 2019-01-03
Handle: RePEc:spt:fininv:v:8:y:2019:i:2:f:8_2_5