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The market quality of commodity futures markets

Qingfu Liu, Qian Luo, Yiuman Tse and Yuchi Xie

Journal of Futures Markets, 2020, vol. 40, issue 11, 1751-1766

Abstract: To study the market quality of commodity futures markets, we construct a commodity futures market quality index from the perspective of liquidity, efficiency, and volatility. Based on the market quality index, the Chinese commodity futures market operates steadily. The metal futures market is more efficient and stable than the market for agricultural futures. The Chinese commodity futures market is less liquid and more volatile than the U.S. market. We examine the determinants of market quality and find that macroeconomic variables and futures market contracts are significantly related to the market quality of Chinese commodity futures.

Date: 2020
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