Market Quality and the Connectedness of Steel Rebar and Other Industrial Metal Futures in China

Date
2019-01-29
Authors
Indriawan, I
Liu, Q
Tse, Y
Supervisor
Item type
Journal Article
Degree name
Journal Title
Journal ISSN
Volume Title
Publisher
Wiley
Abstract

We examine the market quality of China’s steel rebar futures, along with three other important industrial metal futures. Steel rebar futures are the most active metal futures contracts in China. Our analyses show that while steel rebar and copper futures are comparable in terms of informational efficiency, they are more informationally efficient than iron ore and aluminum futures, with low bid–ask spread, volatility persistence, pricing error variance, and probability of informed trading. We find a bidirectional connection between iron ore and steel rebar futures. Furthermore, we show that these metal futures are weakly related to the Chinese stock market.

Description
Keywords
Chinese metal futures; Connectedness; Market quality
Source
Journal of Futures Markets. 2019; 39: 1383– 1393. https://doi.org/10.1002/fut.22001
Rights statement
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