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The Leading Role of the Chinese Futures in the World Commodity Futures Markets

Hung-Gay Fung a
Yiuman Tse b
Jot Yau c
Lin Zhao d
aCollege of Business Administration & Center for International Studies, University of Missouri-St. Louis, One University Blvd, St. Louis, MO 63121, USA E-mail address:
bDepartment of Finance, College of Business Administration, University of Missouri – St. Louis, One University Blvd, St. Louis, MO 63121, USA E-mail address:
cAlbers School of Business and Economics, Seattle University, 901 12th Avenue, Seattle, WA 98122, USA E-mail address:
dDepartment of Finance, Martha and Spencer Love School of Business, Elon University, Elon, NC 27244, USA E-mail address:

International Financial Markets

ISBN: 978-1-78190-311-7, eISBN: 978-1-78190-312-4

Publication date: 16 August 2014

Abstract

This study explores the price linkage between the Chinese commodity futures market and other dominant futures markets, and examines the forces behind the price linkages. The contribution by the trading hour innovations in the United States (or United Kingdom) market to the overnight price changes in the Chinese market is larger in scale than the contribution by the daytime information from the Chinese market to the overnight returns of the corresponding US (or UK) market. Several futures have significant interactions of the domestic and foreign factors in the price linkages while the Chinese domestic factors explain better the global market price linkage in some futures (aluminum, gold, and corn), demonstrating the leading role of the Chinese futures markets in these world markets.

Keywords

Citation

Fung, H.-G., Tse, Y., Yau, J. and Zhao, L. (2014), "The Leading Role of the Chinese Futures in the World Commodity Futures Markets", International Financial Markets (Frontiers of Economics and Globalization, Vol. 13), Emerald Group Publishing Limited, Leeds, pp. 25-49. https://doi.org/10.1108/S1574-8715(2013)0000013007

Publisher

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Emerald Group Publishing Limited

Copyright © 2013 Emerald Group Publishing Limited

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