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Investable Commodity Premia in China
Bianchi, Robert J. - 2020
We investigate the investability of commodity risk premia in China. Previously documented standard momentum, carry and basis-momentum factors are not investable due to the unique liquidity patterns along the futures curves in China. However, dynamic rolling and strategic portfolio weights...
Persistent link: https://www.econbiz.de/10012843106
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The effect of nighttime trading of futures markets on information flows : evidence from China
Fung, Hung-gay; Mai, Liuqing; Zhao, Lin - In: China finance and economic review : CFER 4 (2016), pp. 1-16
volatility of prices. The normality of returns improves during the post-nighttime trading period. As documented in the literature …, the interactions between trading activities (i.e., trading volume and open interest) and volatility conform better to the …
Persistent link: https://www.econbiz.de/10011499355
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Intraday Price Discovery and Volatility Transmission in Stock Index and Stock Index Futures Markets : Evidence from China
Yang, Jian - 2011
Using high-frequency data, this study investigates intraday price discovery and volatility transmission between the … volatility of both markets …
Persistent link: https://www.econbiz.de/10013132298
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Non-Institutional Market Making Behavior: The Dalian Futures Exchange
Jordá, Oscar; Liu, Holly; Williams, Jeffrey - 2002
This paper contains three useful contributions: (1) it collects a new data-set of electronic transaction data on soybean futures from the Dalian Futures Exchange in China that records, not only the usual elements of each transaction (such as price and size) but also identifies broker and...
Persistent link: https://www.econbiz.de/10010318591
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Currency Convertibility and Linkage between Chinese Official and Swap Market Exchange Rates
Yang, Jian; Leatham, David J. - 2002
This study investigates the impact of currency convertibility under the current account on the informational linkage between official and swap market exchange rates for Chinese currency (renminbi). Findings indicate that currency convertibility increased the informational connection between the...
Persistent link: https://www.econbiz.de/10014112240
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Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016
The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …
Persistent link: https://www.econbiz.de/10011520514
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Intraday Time-series Momentum : Evidence from China
Jin, Muzhao; Kearney, Fearghal; Li, Youwei; Yang, Yung … - 2023
volume or volatility are associated with the strongest intraday time-series momentum dynamics. Based on this, we propose an …
Persistent link: https://www.econbiz.de/10014254125
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Shared Analyst Coverage and Connected-Firm Momentum Spillover in China
Jiang, Danling; Peng, Xun; Zhu, Hongquan - 2023
We provide the first systematic analysis of the stock return lead-lag effect among firms connected through shared analyst coverage in China’s A-share markets. We measure the shared analysts-weighted average returns of connected firms (CF) and show that CF return is a significant positive...
Persistent link: https://www.econbiz.de/10014254505
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Spillovers from the US to Stock Markets in Asia : A Quantile Regression Approach
Maderitsch, Robert - 2015
This paper analyzes return spillovers from the US to stock markets in Asia by means of quantile regressions. Traditional studies consider spillovers as effects of the conditional means of foreign returns onto the conditional means of chronologically succeeding domestic markets' returns. We, by...
Persistent link: https://www.econbiz.de/10013029609
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Intraday return and volatility spillover mechanism from Chinese to Japanese stock market
Nishimura, Yusaku; Tsutsui, Yoshirō; Hirayama, Kenjiro - In: Journal of the Japanese and international economies : … 35 (2015), pp. 23-42
Persistent link: https://www.econbiz.de/10011380505