Policy impact on volatility dynamics in commodity futures markets: Evidence from China

Yongmin Zhang, Shusheng DING, Eric Scheffel

Research output: Journal PublicationArticlepeer-review

12 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)1227-1245
Number of pages19
JournalJournal of Futures Markets
Volume38
Issue number10
DOIs
Publication statusPublished - Oct 2018

Keywords

  • liquidity
  • policy impact
  • volatility

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting (all)
  • Finance
  • Economics and Econometrics

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