The Efficiency of Chinese Futures Markets

zhang, zherong (2014) The Efficiency of Chinese Futures Markets. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

Chinese futures markets are criticized in recent years because of its inefficient performance in forecasting cash price in the future. In first place, commodity futures markets do not have cointegration relationship with cash markets; in second place, commodity futures price cannot act as an unbiased predictor for cash price. In this paper, a discussing of the theoretical relationship between spot and futures prices for Chinese commodities and an analysis of the existed facts are given. Meanwhile, this paper also attempt to provide a detail interpretation of the trading behavior in Chinese futures markets, how to deal with the weak or semi-strong efficient markets and the prospect of Chinese futures markets.

Keywords: Cointegration, futures markets, unbiased prediction

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 12 Nov 2014 09:34
Last Modified: 22 Oct 2016 16:13
URI: http://eprints.nottingham.ac.uk/id/eprint/27450

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