A leader of the world commodity futures markets in the making? The case of China's commodity futures |
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| Institution: | 1. College of Business Administration, University of Missouri-St. Louis, One University Blvd, St. Louis, MO 63121, USA;2. Albers School of Business and Economics, Seattle University, 901 12th Avenue, Seattle, WA 98122, USA;3. Martha and Spencer Love School of Business, Elon University, Elon, NC 27244, USA;1. Lebow College of Business, Drexel University, Philadelphia, PA, USA;2. IPAG Lab, IPAG Business School, Paris, France;3. Department of Economics, Universidade de Santiago de Compostela, Santiago de Compostela, Spain;4. School of Economics & Management, Southwest Jiao Tong University, China;1. Department of Business Administration, Pusan National University, Busan 609-735, Republic of Korea;2. Centre for Applied Financial Studies (CAFS), School of Commerce, UniSA Business School, University of South Australia, Adelaide, SA, Australia;3. Department of Economics, Pusan National University, Jangjeon2-Dong, Geumjeong-Gu, Busan, 609-735, Republic of Korea |
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| Abstract: | We use the daily data of 16 commodity futures contracts traded in China and corresponding foreign markets (the US, the UK, Japan, and Malaysia) to analyze the linkages between markets. Several findings are noteworthy. First, trading returns of foreign markets, such as the US, have significant impact on China's overnight (close-to-open) returns and vice-versa. Second, daytime (open-to-close) returns of many Chinese commodity futures contracts are not led by foreign daytime returns. Finally, the close-to-close returns analysis suggests that there are no significant lead-lag relationships between the Chinese and foreign markets. These results suggest that (1) the Chinese commodity futures markets are information-efficient, and (2) they are likely to be driven by local market dynamics occurring during the daytime trading session. |
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