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- W4283369701 abstract "This study examines the effects of the US–China trade dispute on the informational linkages and price discovery between China's futures and spot markets. Using the daily price data of four assets representing the real and financial sectors in China during 2016–2019, empirical findings suggest that the futures–spot correlations for the stock index, copper, and corn markets have increased significantly during the trade dispute. In contrast, sharp declines in the dynamic correlations between gold futures and spot markets, as gold is a safe haven asset, are observed during the event window. During uncertainty disturbance (i.e., the trade dispute), the futures–spot cointegrated relationships in the gold and corn markets are found to adjust more quickly and efficiently, whereas the correction speeds of the market deviations for the stock index and copper market are moderately slower. With the intensive integration of market expectations with uncertainty shocks, the economic shocks of trade disputes tend to remarkably improve the pricing efficiency of China's futures markets, except for the gold futures market. China's spot markets, however, seem to be more sensitive to the noise trades and information disturbances arising from the trade dispute." @default.
- W4283369701 created "2022-06-25" @default.
- W4283369701 creator A5014934585 @default.
- W4283369701 creator A5019258132 @default.
- W4283369701 date "2023-02-01" @default.
- W4283369701 modified "2023-09-28" @default.
- W4283369701 title "Informational linkage and price discovery between China's futures and spot markets: Evidence from the US–China trade dispute" @default.
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- W4283369701 doi "https://doi.org/10.1016/j.gfj.2022.100750" @default.
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