Price leadership in China's oil futures market: take two

被引：2
|
作者：
Yang, Zhini [1 ,2 ]
Zou, Mi [2 ,3 ]
机构：
[1] Fudan Univ, Sch Econ, Shanghai, Peoples R China
[2] Macquarie Univ, Macquarie Univ Business Sch, Sydney, Australia
[3] Shandong Jiaotong Univ, Sch Econ & Management, Jinan, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2024年 / 31卷 / 18期
关键词：
Market microstructure; crude oil futures; futures and options; price discovery; market liquidity; market quality; COVID-19; DISCOVERY; SECURITY;
D O I：
10.1080/13504851.2023.2208821
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study is the first to conduct a comprehensive analysis of the price discovery and market liquidity aspects of China's crude oil futures market compared to WTI and Brent. With intraday-day data consolidated into 1-second intervals and three measures of price discovery, we find that China's crude oil futures market reports encouraging signs in terms of price discovery and efficiency, also showing great resilience during the COVID-19 pandemic. The market has obtained a dominant role in price discovery relative to WTI and Brent during its day trading hours, and has almost caught up with Brent in terms of market liquidity.
引用
收藏
页码：1885 / 1893
页数：9
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