Information Flows Between the U.S. and China Commodity Futures Trading

Information Flows Between the U.S. and China Commodity Futures Trading Using a bivariate GARCH model, we examine patterns of information flows for three commodity futures traded in both the developed U.S. market and the emerging China market (copper, soybeans and wheat). For copper and soybeans, the two commodities that are subject to less government regulation and fewer import restrictions in China, we find that the U.S. futures market plays a dominant role in transmitting information to the Chinese market, a result that confirms the importance of the U.S. role as a leader in the global financial market. For the heavily regulated and subsidized wheat commodity, our empirical results indicate that the U.S.-China futures markets are highly segmented in pricing, although information transmission via volatility spillover across markets is present. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Information Flows Between the U.S. and China Commodity Futures Trading

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2003 by Kluwer Academic Publishers
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1023/A:1027384330827
Publisher site
See Article on Publisher Site

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