In this study, the fundamental empirical characteristics of the Chinese futures markets, which includes all the liquid financial and commodity futures traded in mainland China, are analysed at different time scales. The comprehensive results for the whole range of products provide valuable insight for the market practitioners, academics, and regulators. Stylised facts from the stock markets such as serial correlation, volatility clustering, non-normality, gain/loss asymmetry, risk characteristics and structural dependences are characterised. Futures returns in the Chinese futures markets show certain similarities and also differences from the stock markets in terms of the stylised facts.
|Number of pages||42|
|Journal||Journal of Finance and Investment Analysis|
|Publication status||Published - 1 Apr 2019|
Bibliographical noteUnder a CC BY license.
- Futures markets
- commodity futures
- high-frequency returns
- stylized facts