This study conducts price discovery analysis in the Chinese gold market. Our results indicate that Chinese gold market price discovery occurs predominantly in the futures market. The result is robust to numerous different measures of price discovery, namely information share, component share,...

This study conducts an investigation of intraday time-series momentum across four Chinese commodity futures contracts: copper, steel, soybean, and soybean meal. Our results indicate that the first half-hour return positively predicts the last half-hour return across all four futures....

We study the price impact of order flow in the world’s largest soybean meal futures markets. Our intraday results indicate that incoming orders can be used to explain price changes and to significantly predict future price changes. Our results are shown to be robust to various order flow...