Anatomy of Chinese Futures Markets
40 Pages Posted: 30 May 2018
Date Written: May 19, 2018
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
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