This article examines the theoretical and empirical implications of asymmetric information in commodity futures markets. In particular, it formulates and tests a theoretical model that recognizes two distinct categories of traders: hedgers, who participate in both spot and futures markets, and specu
β¦ LIBER β¦
Information transmission in informationally linked markets: Evidence from US and Chinese commodity futures markets
β Scribed by Qingfu Liu; Yunbi An
- Book ID
- 116659128
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 533 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0261-5606
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## Abstract Using highβfrequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China. Although the Chinese stock index started a sharp decline immediately after the stock in