Evidence of Arbitrage Trading Activity: The Case of Chinese Copper Futures Contracts

38 Pages Posted: 4 Dec 2020

See all articles by Robert Brooks

Robert Brooks

University of Alabama - Department of Economics, Finance and Legal Studies

Yang Li

China Women's University-Department of Accounting,Corporate Finance and Securities Investment

Date Written: November 4, 2020

Abstract

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

Brooks, Robert E. and Li, Yang, Evidence of Arbitrage Trading Activity: The Case of Chinese Copper Futures Contracts (November 4, 2020). Available at SSRN: https://ssrn.com/abstract=3725641 or http://dx.doi.org/10.2139/ssrn.3725641

Robert E. Brooks (Contact Author)

University of Alabama - Department of Economics, Finance and Legal Studies ( email )

P.O. Box 870244
Tuscaloosa, AL 35487
United States
205-348-8987 (Phone)
205-348-0590 (Fax)

HOME PAGE: http://www.frmhelp.com

Yang Li

China Women's University-Department of Accounting,Corporate Finance and Securities Investment ( email )

China Women's University
No.1 Yuhui East Road, Chaoyang District
Beijing, Beijing 100101
China

HOME PAGE: http://www.cwu.edu.cn/english/aboutcwu/index.htm

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