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.

Empirical Study on Arbitrage Opportunities in China Copper Futures Market

No-arbitrage bound is established with no-arbitrage theory considering all kinds of trade costs, different deposit and loan interest rate, margin and tax in futures markets. The empirical results find that there are many lower bound arbitrage opportunities in China copper futures market from August 8th, 2003 to August 16th, 2005, Concretely, no-arbitrage opportunity is dominant and lower bound arbitrage is narrow in normal market segment. Lower bound arbitrage almost always exists with huge magnitude in inverted market segment. There is basically no-arbitrage in normal market because spot volume is enough, so that upper or lower bound arbi- trage can be realized, There is mostly lower bound arbitrage in inverted market because spot volume is lack.

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.

China's Futures Market

Since the 1990s, futures trading with its particular economic form and functions, has interested domestic enterprises. To support the development of the futures market in a standard way, the State Council has authorized the State Supervisory and Administrative Commission for Securities Trading

Systemic Risk in Chinese Commodity Futures Markets: A Graph Theory Analysis

This paper sets out to explore the contagion of systemic risk in Chinese commodity futures market based on specific tools of the graph-theory.More precisely,we use minimum spanning trees as a way to identify the most probable path for the transmission of prices shocks.In the sample of 30 kinds of Chinese commodity futures,we construct the MST and obtain the most probable and the shortest path for the transmission of a prices shock.We find that metal futures play an important role in commodity futures market and copper stands at the heart of the system(The core position of the system is very important for the transmission of system risk).And our results also reveal that when the risk occurs,the MST structure becomes smaller,leading to the most effective transmission path of risk becomes shorter.

CONNECTING INDUSTRY TO THE MARKET the future of cotton in Africa

Africa has traditionally been an important cotton production base.Before the textiles and clothing quota phase-out,cotton markets were mainly in Europe.In 2000,the 27 countries currently members of the European Union imported 1,077 million tons

REVIEW THE PAST AND LOOK FORWARD TO THE FUTURE OF INTERNATIONAL SHIPPING MARKET

Ⅰ. Review the past of 1994 international shiPPing market: 1994 saw world economy begin a new cycle of boom. The economy of the West was on the way to a complete recovery, and that of East Asia was keeping up its steady growth. ACCOFding to the estimation 0f International Monetary Fund, the 1994 growth rate of world economy was 3％ and that of world—trade volume was about 5％. Thanks to these factors, the international shipping market had also Undergone considerable changes. 1. In 1994,world dry—bulk shipping market first sagged and thenstiffened. Affected by the negative growth of

A New“Consumption-production”Market Model

Based on the long tail model,this paper assumes a new form of mutual change between producers and consumers and obtains a consumption and production economic model adapted to the modern market economy,and carries out practical verification of the model.The conclusion is that the main body of the future market economy will change from producers to consumers.

Analysis on the Problems and Countermeasures of Enterprise Relationship Marketing

Under the current economic situation,companies should fully realize the importance of relationship marketing,establish good and stable relationships with all related parties,strengthen exchanges and cooperation with each other,achieve win-win benefits,and promote corporate marketing activities.For the success of the company,we will conduct in-depth investigations in the economic market,improve the products in time,and make plans based on the current development situation.

Market reactions to trade friction between China and the United States:Evidence from the soybean futures market

In March 2018,the US used an immense trade deficit as an excuse to provoke trade friction with China.This study uses the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trade friction on soybean futures markets in China and the United States.Results indicate that the Sino-US trade friction weakened the return spillover effect between the soybean futures markets in China and the US,and significantly increased market volatilities.As the scale of additional tariffs increased,the volatility of the Chinese soybean futures market declined;however,the volatility of the US soybean futures market did not weaken.In addition,expanding the sources of soybean imports helped ease the impact of tariffs on China's soybean futures market,while the decline in US soybean exports to China intensified the volatility of the US soybean futures market.In addition,while the release of multiple tariff increases has had a short-termimpact on the returns of soybean futures markets,the impact of trade friction has grad-ually decreased.

The effect of nighttime-trading of futures markets on information flows:Evidence from China

In the past couple of years,China’s futures exchanges have launched nighttime trading sessions.We use daily data from 23 commodity futures to investigate the impact of this important policy change.Our findings suggest that the launching of nighttime trading effectively improved the efficiency of futures prices and reduced the volatility of prices.The normality of returns improves during the post-nighttime trading period.As documented in the literature,the interactions between trading activities(i.e.,trading volume and open interest)and volatility conform better to the observed patterns in developed markets.This study provides sound evidence that China has taken steady steps toward its goal of establishing price-setting power in key commodities on world financial markets.

To jump or not to jump:momentum of jumps in crude oil price volatility prediction

A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility.To address this issue,we find a phenomenon,“momentum of jumps”(MoJ),that the predictive ability of the jump component is persistent when forecasting the oil futures market volatility.Specifically,we propose a strategy that allows the predictive model to switch between a benchmark model without jumps and an alternative model with a jump component according to their recent past forecasting performance.The volatility data are based on the intraday prices of West Texas Intermediate.Our results indicate that this simple strategy significantly outperforms the individual models and a series of competing strategies such as forecast combinations and shrinkage methods.A mean–variance investor who targets a constant Sharpe ratio can realize the highest economic gains using the MoJ-based volatility forecasts.Our findings survive a wide variety of robustness tests,including different jump measures,alternative volatility measures,various financial markets,and extensive model specifications.

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.

Roles of commodity futures derivatives and financial crises in global food security

Commodity futures have been largely blamed for the price hikes in 2007/mid-2008 and 2010/2011 and the decreased food security around the world,especially in less developed countries.There still exist serious disagreements between most economists and policymakers as to whether this is the case.We run time-series regressions for all samples and subsamples for lower-income,middle-income,and high-income countries respectively.The empirical results show that commodity futures have a more significant negative impact on food security in low-income countries than in middle-income and high-income economies.Financial crises,however,have a significant impact on food security in all the regional divisions as a whole and are seen to exasperate the negative effect of some of the commodity futures on food security.We also find evidence that a certain degree of speculation in some commodities stabilises prices of those commodities as expected by theory.Our results have important policy implications as policymakers must control these speculations but should also be careful not to overregulate the market.