Fung, Hung-Gay; Tse, Yiuman; Yau, Jot; Zhao, Lin - In: International Review of Financial Analysis 27 (2013) C, pp. 103-114
We use the daily data of 16 commodity futures contracts traded in China and corresponding foreign markets (the US, the UK, Japan, and Malaysia) to analyze the linkages between markets. Several findings are noteworthy. First, trading returns of foreign markets, such as the US, have significant...
