Article
Market quality and the connectedness of steel rebar and other industrial metal futures in China
The Journal of Futures Markets
(2019)
Abstract
We examine the market quality of China's steel rebar futures, along with three other important industrial metal futures. Steel rebar futures are the most active metal futures contracts in China. Our analyses show that while steel rebar and copper futures are comparable in terms of informational efficiency, they are more informationally efficient than iron ore and aluminum futures, with low bid–ask spread, volatility persistence, pricing error variance, and probability of informed trading. We find a bidirectional connection between iron ore and steel rebar futures. Furthermore, we show that these metal futures are weakly related to the Chinese stock market.
Keywords
- Chinese metal futures,
- connectedness,
- market quality
Disciplines
Publication Date
2019
DOI
10.1002/fut.22001
Citation Information
Yiuman Tse, Ivan Indriawan and Qingfu Liu. "Market quality and the connectedness of steel rebar and other industrial metal futures in China" The Journal of Futures Markets Vol. 39 Iss. 11 (2019) p. 1383 - 1393 Available at: http://works.bepress.com/yiuman-tse/111/