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The market quality of commodity futures markets

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  • Qingfu Liu
  • Qian Luo
  • Yiuman Tse
  • Yuchi Xie

Abstract

To study the market quality of commodity futures markets, we construct a commodity futures market quality index from the perspective of liquidity, efficiency, and volatility. Based on the market quality index, the Chinese commodity futures market operates steadily. The metal futures market is more efficient and stable than the market for agricultural futures. The Chinese commodity futures market is less liquid and more volatile than the U.S. market. We examine the determinants of market quality and find that macroeconomic variables and futures market contracts are significantly related to the market quality of Chinese commodity futures.

Suggested Citation

  • Qingfu Liu & Qian Luo & Yiuman Tse & Yuchi Xie, 2020. "The market quality of commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1751-1766, November.
    • Handle: RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1751-1766
    DOI: 10.1002/fut.22115
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    2. Li, Miao & Xiong, Tao, 2023. "Is China's new live hog futures market efficient? Evidence from an analysis of market quality, price discovery and hedging effectiveness," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 68(01), September.
    3. Jun Long & Xianghui Yuan & Liwei Jin & Chencheng Zhao, 2024. "Connectedness and risk spillover in China's commodity futures sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 784-802, May.
    4. Ghosh, Indranil & Chaudhuri, Tamal Datta & Alfaro-Cortés, Esteban & Gámez, Matías & García, Noelia, 2022. "A hybrid approach to forecasting futures prices with simultaneous consideration of optimality in ensemble feature selection and advanced artificial intelligence," Technological Forecasting and Social Change, Elsevier, vol. 181(C).
    5. Hua, Renhai & Liu, Qingfu & Tse, Yiuman & Yu, Qin, 2023. "The impact of natural disaster risk on the return of agricultural futures," Journal of Asian Economics, Elsevier, vol. 87(C).
    6. Guo, Wenjing & Li, Sijie & Xing, Mengyue & Lin, Shengyao, 2023. "Evaluation of the operational quality of China's grain futures market based on the comprehensive information weighting method," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 467-482.
    7. Xiong, Tao & Li, Miao, 2024. "Does market quality benefit from internationalization? Evidence from Chinese commodity futures markets," Research in International Business and Finance, Elsevier, vol. 70(PA).
    8. Xue Jiang & Liyan Han & Yang Xu, 2021. "How does skewness perform in the Chinese commodity futures market?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1268-1285, August.
    9. Miao Li & Tao Xiong & Ziran Li, 2023. "A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 792-806, June.
    10. Shimeng Shi & Jia Zhai & Yingying Wu, 2024. "Informational inefficiency on bitcoin futures," The European Journal of Finance, Taylor & Francis Journals, vol. 30(6), pages 642-667, April.
    11. Xiaokang Hou & Shah Fahad & Peipei Zhao & Beibei Yan & Tianjun Liu, 2022. "The Trilogy of the Chinese Apple Futures Market: Price Discovery, Risk-Hedging and Cointegration," Sustainability, MDPI, vol. 14(19), pages 1-16, October.

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