The Empirical Tests on Risk in Chinese Futures Market

The Research on Market Risks has been developed abroad in all sorts of markets since 1960＇s. It＇s necessary to comprehend and consider opportunity and challenge in Chinese futures market from the viewpoint of risk management. With different ARCH models, we find heteroscedasticity does exist in Chinese market, so we adopt the Variance Ratio. We test empirically the prices of Chinese futures market from 1993 to 2002. The results show that only futures price of copper meets the random walk, thereby confirming the weak form market efficiency. It also means that the function of price discovery is weak and the risk of futures market is poor. Finally, we give much constructive policy advice.

Relationship of Margin Rule and Volatility in Chinese Copper Futures Markets

Different from western markets, the margin rates in Chinese futures markets are raised when contract approaches maturity. This paper concentrates on the effect of this time dependent margin rule on volatility. Open interest, another candidate in the margin rule, is also included in our model to investigate its necessity as one of the factors of the rise of margin rates. With the popular copper contract in Shanghai Futures Exchange （ SHFE）, our test results suggest that margin levels have a significant positive effect on volatility, yet open interest has little to do with volatility. The implication is that the rise of margin rate approaching maturity virtually deteriorates the degree of market risks, and open interest is not a necessary factor for the margin rule. It indicates that the policy tool, represented by margin rates, has significantly greater influence on volatility than the market element, represented by open interest.

Using Big Data to Discover Chaos in China’s Futures Market During COVID-19

COVID-19 was first reported in China and quickly spread throughout the world.Weak investor confidence in government efforts to control the pandemic seriously affected global financial markets.This study investigated chaos in China’s futures market during COVID-19,focusing on the degree of chaos at different periods during the pandemic.We constructed a phase diagram to observe the attractor trajectory of index futures(IFs).During the COVID-19 outbreak,overall chaos in China’s futures market was increasing,and there was a clear correlation between market volatility and the macroenvironment(mainly government regulation).The Hurst index,calculated by rescaled range(R/S)analysis,was 0.46.The price and return of IFs showed long-term correlation and fractal characteristics;the relevant dimensions of the futures market were 2.17.Overall,under the influence of an emergency(COVID-19),chaos in China’s financial market intensified,creating a need for timely government intervention and macrocontrol of the market.This study’s findings can help improve the government’s understanding of the phenomenon of financial chaos caused by emergencies.This study also provides theoretical guidance for controlling financial chaos and maintaining healthy economic development when faced with similar events in the future.

Does More Trading Lead to Better Market Linkage?Evidence from the Commodity Futures Markets

In this study,we use eight pairs of commodity futures data to investigate the impact of the recently launched nighttime trading session by Chinese futures exchanges.We conduct a thorough empirical analysis on the cross-market information transmission mechanisms between China and the U.S.We apply various econometric analyses including the co-integration analysis,the forecast error variance decomposition analysis,and the volatility spillover analysis with a bivariate GARCH model.Findings in this study indicate that,after the launching of nighttime-trading hours in China,the price discovery function of the Chinese futures market is noticeably improved,and that the Chinese market began to dominate the U.S.market in the bidirectional volatility spillover process.Thus,the introduction of the nighttime-trading hours appears to be an effective step toward China’s long-term goal of establishing pricing power in key commodities on the global financial market.