Evidence of Arbitrage Trading Activity: The Case of Chinese Copper Futures Contracts
38 Pages Posted: 4 Dec 2020
Date Written: November 4, 2020
Several unique insights are documented based on a study of copper futures contracts traded in the U.S. and China. Based on our unique measures, we present evidence that the U.S. gold and silver futures markets reflect a fully arbitraged market and U.S. copper nearly so. In contrast, the Chinese gold and silver futures markets appear to reflect an unarbitraged market whereas the Chinese copper market is characterized as somewhat arbitraged. We explore various reasons for this evidence as well as document the differences in gold, silver, and copper futures markets between China and the U.S.
Keywords: Futures Contracts, Arbitrage, Copper, China, Derivatives
JEL Classification: G13, G15, G18
Suggested Citation: Suggested Citation