Market Quality and the Connectedness of Steel Rebar and Other Industrial Metal Futures in China
| aut.relation.journal | Journal of Futures Markets | en_NZ |
| aut.researcher | Indriawan, Ivan | |
| dc.contributor.author | Indriawan, I | en_NZ |
| dc.contributor.author | Liu, Q | en_NZ |
| dc.contributor.author | Tse, Y | en_NZ |
| dc.date.accessioned | 2019-07-30T04:58:33Z | |
| dc.date.available | 2021-10-04T03:19:03Z | |
| dc.date.copyright | 2019-01-29 | en_NZ |
| dc.date.issued | 2019-01-29 | en_NZ |
| dc.description.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. | |
| dc.identifier.citation | Journal of Futures Markets. 2019; 39: 1383– 1393. https://doi.org/10.1002/fut.22001 | |
| dc.identifier.doi | 10.1002/fut.22001 | en_NZ |
| dc.identifier.issn | 0270-7314 | en_NZ |
| dc.identifier.uri | https://hdl.handle.net/10292/12701 | |
| dc.publisher | Wiley | en_NZ |
| dc.relation.uri | https://onlinelibrary.wiley.com/doi/full/10.1002/fut.22001 | en_NZ |
| dc.rights | Copyright © 2019 John Wiley & Sons. All rights reserved. Authors retain the right to place his/her pre-publication version of the work on a personal website or institutional repository. This article may not exactly replicate the final version published in (please see citation) as it is not a copy of this record. An electronic version of this article can be found online at: (Please see Publisher’s Version). | |
| dc.rights.accessrights | OpenAccess | en_NZ |
| dc.subject | Chinese metal futures; Connectedness; Market quality | |
| dc.title | Market Quality and the Connectedness of Steel Rebar and Other Industrial Metal Futures in China | en_NZ |
| dc.type | Journal Article | |
| pubs.elements-id | 352342 | |
| pubs.organisational-data | /AUT | |
| pubs.organisational-data | /AUT/Business, Economics & Law | |
| pubs.organisational-data | /AUT/Business, Economics & Law/Finance | |
| pubs.organisational-data | /AUT/Faculty of Business, Economics and Law | |
| pubs.organisational-data | /AUT/Faculty of Business, Economics and Law/Finance | |
| pubs.organisational-data | /AUT/PBRF | |
| pubs.organisational-data | /AUT/PBRF/PBRF Business Economics and Law | |
| pubs.organisational-data | /AUT/PBRF/PBRF Business Economics and Law/Faculty Review Team PBRF 2018 | |
| pubs.organisational-data | /AUT/PBRF/PBRF Business Economics and Law/Finance Department PBRF 2018 |