Is China's new live hog futures market efficient? Evidence from an analysis of market quality, price discovery and hedging effectiveness
Miao Li,
Tao Xiong
Abstract:On 8 January 2021, China's first live‐animal and live‐delivery futures product—in live hogs—was listed on the Dalian Commodity Exchange to serve as a risk management tool. We examine whether this newly established market exhibits good market quality and has realised its primary functions of price discovery and hedging. Our results suggest that the live hog futures market performs its price discovery function well and can hedge between 4% and 27% of the risk in the spot market, even though it is less actively t… Show more
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