In this study, the
fundamental empirical characteristics of the Chinese futures markets, which
includes all the liquid financial and commodity futures traded in mainland
China, are analysed at different time scales. The comprehensive results for the
whole range of products provide valuable insight for the market practitioners,
academics, and regulators. Stylised facts from the stock markets such as serial
correlation, volatility clustering, non-normality, gain/loss asymmetry, risk
characteristics and structural dependences are characterised. Futures returns
in the Chinese futures markets show certain similarities and also differences
from the stock markets in terms of the stylised facts.
[ Download ]
