Information transmission in informationally linked markets: Evidence from US and Chinese commodity futures markets |
| |
Authors: | Qingfu LiuYunbi An |
| |
Institution: | a Institute for Financial Studies, Fudan University, Shanghai 200433, China b Odette School of Business, University of Windsor, Windsor, Ontario N9B 3P4, Canada |
| |
Abstract: | This paper investigates information transmission and price discovery in informationally linked markets within the multivariate generalized autoregressive conditional heteroskedasticity and information share frameworks. Based on both synchronous and non-synchronous trading information from Chinese futures/spot markets, the New York Mercantile Exchange (NYMEX), Chicago Board of Trade (CBOT), and CME Globex futures markets for copper and soybeans, we show that there is a bidirectional relationship in terms of price and volatility spillovers between US and Chinese markets, with a stronger effect from US to Chinese markets than the other way around. Additionally, the NYMEX and CBOT play a more important role than the CME Globex in the flow of information from US to Chinese markets. Moreover, we find that Chinese copper market adjusts more quickly than the NYMEX copper market to correct the disparity between both markets. However, the converse is true in the case of soybeans. Finally, our results highlight the remarkable role of Chinese futures markets in the price formation process, though NYMEX and CBOT futures markets are the main driving force in price discovery. |
| |
Keywords: | G15 C32 |
本文献已被 ScienceDirect 等数据库收录! |
|