The Leading Role of the Chinese Futures in the World Commodity Futures Markets

Hung-Gay Fung, Yiuman Tse, Jot Yau and Lin Zhao

A chapter in International Financial Markets, 2014, vol. 13, pp 25-49 from Emerald Group Publishing Limited

Abstract: This study explores the price linkage between the Chinese commodity futures market and other dominant futures markets, and examines the forces behind the price linkages. The contribution by the trading hour innovations in the United States (or United Kingdom) market to the overnight price changes in the Chinese market is larger in scale than the contribution by the daytime information from the Chinese market to the overnight returns of the corresponding US (or UK) market. Several futures have significant interactions of the domestic and foreign factors in the price linkages while the Chinese domestic factors explain better the global market price linkage in some futures (aluminum, gold, and corn), demonstrating the leading role of the Chinese futures markets in these world markets.

Keywords: Price linkage; price discovery; Chinese commodity futures (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eme:fegzzz:s1574-8715(2013)0000013007

DOI: 10.1108/S1574-8715(2013)0000013007

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