Anatomy of Chinese Futures Markets

40 Pages Posted: 30 May 2018

See all articles by Ahmet Goncu

Ahmet Goncu

Xi'an Jiaotong University (XJTU)

Yurun Yang

Xi'an Jiaotong-Liverpool Univeristy

Date Written: May 19, 2018

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 analyzed at different time scales. The comprehensive results for the whole range of products provide valuable insight for the market practitioners, academics, and regulators. Stylized facts from the stock markets such as serial correlation, volatility clustering, non-normality, gain/loss asymmetry, risk characteristics and structural dependences are characterized. Futures returns in the Chinese futures markets show certain similarities and also differences from the stock markets in terms of the stylized facts.

Keywords: Futures Markets; Commodity Futures; High-Frequency Returns; Stylized Facts

JEL Classification: G10; G15

Suggested Citation

Goncu, Ahmet and Yang, Yurun, Anatomy of Chinese Futures Markets (May 19, 2018). Available at SSRN: https://ssrn.com/abstract=3181266 or http://dx.doi.org/10.2139/ssrn.3181266

Ahmet Goncu (Contact Author)

Xi'an Jiaotong University (XJTU) ( email )

26 Xianning W Rd.
Suzhou, Jiangsu 215123
China

Yurun Yang

Xi'an Jiaotong-Liverpool Univeristy ( email )

26 Xianning W Rd.
Dushu Lake Higher Education Town
Suzhou, Jiangsu Province 215123
China

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