We investigate the behavior of commodity futures risk premia in China. In the presence of
retail‐dominance and barriers‐to‐entry, the term structure and momentum premia remain …

This study presents a set of integer-valued generalised autoregressive conditional
heteroskedastic models to identify possible transmission channels of joint extreme price …

This article examines the predictors of price limit hits and post-hit market behaviors in the
Chinese fund market. We show that macroeconomic news, past market returns, lagged limit …

The provision of public information in commodity markets is justified in part by the idea that
public information generates consensus among market participants about the fundamental …

In the past few years, the lean hog and live cattle futures markets have experienced
significantly heightened volatility and frequent limit moves. In this paper, we study whether …

This paper investigates the information content of the futures option markets trading activities
in determining commodity futures returns. Our findings suggest that position changes in the …

Abstract Thailand's Single Stock Futures market has grown recently over the last ten years,
evidenced by its 8th place in top 10 exchanges in the world by number of single stock …

Abstract Thailand's Single Stock Futures market has grown recently over the last ten years,
evidenced by its 8th place in top 10 exchanges in the world by number of single stock …

Abstract In March 2020, six European countries imposed temporary short-selling bans to
prevent further stock price declines, to reduce price volatility, and to ensure financial stability …

We analyse the dynamic behavior of conditional volatility in commodity markets using a
novel, manually collected dataset of daily price ranges over a time span of more than 140 …