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How does skewness perform in the Chinese commodity futures market?

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  • Xue Jiang
  • Liyan Han
  • Yang Xu

Abstract

This paper investigates a negative relationship between skewness and expected returns in China's commodity futures market. Unlike the impact of skewness in the US commodity markets, the impact of skewness in Chinese commodity markets is completely monotonic and asymmetric, which indicates more potential arbitrage opportunities in China's commodity markets. Also, we demonstrate that skewness is an effective risk factor in China's commodity futures market that contains different information from traditional risk factors. Investors require positive risk compensation for lower skewness. Empirical findings are shown to be robust with alternative skewness measures in different business cycles.

Suggested Citation

  • 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.
    • Handle: RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1268-1285
    DOI: 10.1002/fut.22200
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    Cited by:

    1. Li, Hemei & Liu, Zhenya & Zhao, Yuqian, 2023. "The Fortune and crash of common risk factors in Chinese commodity markets," Journal of Commodity Markets, Elsevier, vol. 32(C).

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