Pricebehaviour in China's commodity futures markets.

摘要

As an emerging market in a transitional economy, China's commodity futures market has experienced ups-and-downs during the past ten years. Currently, some futures markets have begun to play an important role in China's economy. However, few studies to date have systematically investigated the price bahaviour of futures contracts traded in China. Thus, this study systematically, for the first time, investigates the price bahaviour of futures contracts traded in China. The random walk hypothesis, the contemporaneous and lead-lag relationship between volume and return/absolute return, the response of return and volume to different information shocks, the response of prices to different determinants, and the price discovery process between products are examined.; For both closing and settlement price series, the random walk hypothesis is consistently supported by all tests only with regard to copper (sub-sample 2) and aluminium futures, and not with regard to soybean, wheat and copper (sub-sample 1) futures.; The main contributions of this study include: (1) for the first time, this study thoroughly and systematically examines the price behaviours in China's commodity futures markets; (2) by estimating the level of efficiency and effectiveness of main futures markets, this study enhance our understanding of China's commodity futures markets, and provides important reference for, and detailed information to, market regulators; (3) from the perspective of policy implications, this study provides powerful empirical evidence to support the improvement of market efficiency and effectiveness for copper futures, and gives a positive evaluation for the regulatory effect of the second adjustment; (4) this study finds that higher trading volume is very helpful for the efficiency and effectiveness of futures markets, which means that some policy measures need to be considered to further animate futures transactions; (5) In terms of research methodology, this study is the first to employ BMAR and BVAR methodologies in futures markets, and a relatively integrative framework for modelling the volatility of futures prices is constructed. (Abstract shortened by UMI.)