Demystifying Commodity Futures in China
By John Hua Fan, Ph.D. and Tingxi Zhang, Griffith Business School, Australia
As summarized by John Hua Fan, Ph.D., Griffith Business School, Australia
This digest article examines systematic investment strategies in the Chinese commodity futures market. The paper’s results indicate that momentum and term structure strategies generate statistically significant profits across the futures curve, in the most liquid markets and in randomly selected sectors. In addition, the paper presents a head-to-head comparison of the important institutional settings with the U.S. market.
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