The 'necessary evil' in Chinese commodity markets
| Autor: | Di Mo, Tingxi Zhang, John Hua Fan |
|---|---|
| Rok vydání: | 2022 |
| Předmět: |
040101 forestry
Economics and Econometrics 050208 finance Applied economics 05 social sciences Commodity 04 agricultural and veterinary sciences Monetary economics Price discovery Capital (economics) 0502 economics and business Economics 0401 agriculture forestry and fisheries Portfolio Volatility (finance) China Speculation Futures contract Finance |
| Zdroj: | Journal of Commodity Markets. 25:100186 |
| ISSN: | 2405-8513 |
| Popis: | Enormous capital inflows into the emerging commodity futures markets in China raised concerns about the impact of speculation. Using a broad sample of 30 commodities across sectors, this paper investigates whether the increased presence of speculators in recent years destabilizes the commodities market in China. In a portfolio framework, we find that increased speculation does not give rise to higher volatilities, elevate the cross-market correlations, nor distort the market’s association with economic fundamentals. Consistent with the literature, long-short speculators contribute positively to the price discovery by reducing the broad market volatility and cross-correlation with stocks. Overall, the cross-speculative pressure remains relatively low, and the increased speculation does not cause seemingly unrelated commodities to become correlated. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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