Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/43161
Title: The efficiency of the Chinese commodity futures markets : development and empirical evidence
Authors: Xin, YU
Chen, G
Firth, M
Issue Date: 2006
Source: China & world economy, 2006, v. 14, no. 2, p. 79-92
Abstract: This study investigates the efficiency of the Chinese metal futures (i. e. copper and aluminum) traded on China's Shanghai Futures Exchange. First, we thoroughly analyze the development of China's commodity futures markets, which provides a fundamental background. Then we examine the random walk and unbiasedness hypotheses for two metal futures during 1999–2004. Based on the empirical evidence, we argue that China's copper and aluminum futures markets are efficient, and that they aid the process of price discovery because futures prices can be considered as unbiased predictors of future spot prices. We attribute this efficiency to the regulatory changes made in 1999 and the increased financial skills and acumen of the participants in the market.
Keywords: China
Commodity futures
Market efficiency
G14
G15
Publisher: Wiley-Blackwell
Journal: China & world economy 
ISSN: 1671-2234
EISSN: 1749-124X
DOI: 10.1111/j.1749-124X.2006.00016.x
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