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Policy impact on volatility dynamics in commodity futures markets: Evidence from China
Author(s) -
Zhang Yongmin,
Ding Shusheng,
Scheffel Eric
Publication year - 2018
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.21905
Subject(s) - futures contract , volatility (finance) , market liquidity , economics , commodity market , china , financial economics , stock market , forward market , commodity , financial market , monetary economics , futures market , context (archaeology) , market economy , finance , political science , law , biology , paleontology
Chinese financial markets play an ever more pertinent role in the global economic context and are therefore increasingly relevant for stabilizing the economy. In this paper, we scrutinize the impact of a series of new policies on stock index futures trading, which have recently been enacted by the Chinese government. We pay particular attention to the way in which these have influenced commodity market volatilities and how their impact on liquidity has affected volatility more generally. Our results reveal a novel interaction between the new government policy and market forces which drive volatilities in commodity markets.