| 报告题目 | Information transmission in informationally linked markets: Evidence from US and Chinese commodity futures markets | ||
| 报告人（单位） | 刘庆富教授（复旦大学金融研究院） | ||
| 点评人（单位） | 刘晓星教授 （太阳集团tyc539） | 点评人（单位） | 华仁海教授 （南京财经大学） |
| 时间地点 | 2011年11月4日（周五下午2：30）九龙湖太阳集团tyc5392-201会议室 | ||
| 报告内容摘要 | |||
| This paper investigates information transmission and price discovery in informationally linked markets within the multivariate generalized autoregressive conditional heteroskedasticity and information share frameworks. Based on both synchronous and non-synchronous trading information from Chinese futures/spot markets, the New York Mercantile Exchange (NYMEX), Chicago Board of Trade (CBOT), and CME Globex futures markets for copper and soybeans, we show that there is a bidirectional relationship in terms of price and volatility spillovers between US and Chinese markets, with a stronger effect from US to Chinese markets than the other way around. Additionally, the NYMEX and CBOT play a more important role than the CME Globex in the flow of information from US to Chinese markets. Moreover, we find that Chinese copper market adjusts more quickly than the NYMEX copper market to correct the disparity between both markets. However, the converse is true in the case of soybeans. Finally, our results highlight the remarkable role of Chinese futures markets in the price formation process, though NYMEX and CBOT futures markets are the main driving force in price discovery. | |||
