2019
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Abstract: We examine the market quality of China's steel rebar futures, along with three other important industrial metal futures. Steel rebar futures are the most active metal futures contracts in China. Our analyses show that while steel rebar and copper futures are comparable in terms of informational efficiency, they are more informationally efficient than iron ore and aluminum futures, with low bid–ask spread, volatility persistence, pricing error variance, and probability of informed trading. We find a bidirection… Show more

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Cited by 7 publications
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“…An important metal, copper, has a big market in China. Indriawan, Liu, and Tse (2019) describe copper futures and steel rebar futures in China as the most active metal contracts and as informationally more effi cient than other metal futures such as iron ore and aluminium. In the long run, copper stock prices have a signifi cant asymmetric impact from demand shocks and supply shocks; however, in the short run, demand shocks have such an impact on stock prices (Hu et al, 2017).…”
Section: Chinese and Indian Metal Futures Marketsmentioning
confidence: 99%