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| LEADER |
01328nam a2200193Ia 4500 |
| 001 |
10.1002-fut.22001 |
| 008 |
220511s2019 CNT 000 0 und d |
| 020 |
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|a 02707314 (ISSN)
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| 245 |
1 |
0 |
|a Market quality and the connectedness of steel rebar and other industrial metal futures in China
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| 260 |
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|b Wiley-Liss Inc.
|c 2019
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| 856 |
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|z View Fulltext in Publisher
|u https://doi.org/10.1002/fut.22001
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| 520 |
3 |
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|a We examine the market quality of China's steel rebar futures, along with three other important industrial metal futures. Steel rebar futures are the most active metal futures contracts in China. Our analyses show that while steel rebar and copper futures are comparable in terms of informational efficiency, they are more informationally efficient than iron ore and aluminum futures, with low bid–ask spread, volatility persistence, pricing error variance, and probability of informed trading. We find a bidirectional connection between iron ore and steel rebar futures. Furthermore, we show that these metal futures are weakly related to the Chinese stock market. © 2019 Wiley Periodicals, Inc.
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| 650 |
0 |
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|a Chinese metal futures
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| 650 |
0 |
4 |
|a connectedness
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| 650 |
0 |
4 |
|a market quality
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| 700 |
1 |
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|a Indriawan, I.
|e author
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| 700 |
1 |
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|a Liu, Q.
|e author
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| 700 |
1 |
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|a Tse, Y.
|e author
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| 773 |
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|t Journal of Futures Markets
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