Investable Commodity Premia in China
Research by Robert Bianchi, Ph.D., John Hua Fan, Ph.D. and Tingxi Zhang, Griffith Business School, Griffith University, Australia
This paper discusses how investable Chinese commodity risk premia might be, amid the recent acceleration of the market opening process in China. The investable premia documented in this paper survive execution delay, stop-loss, seasonality, sub-periods, illiquidity and transaction cost tests, and provide portfolio diversification benefits. Finally, the paper’s analysis reveals that investable commodity premia in China exhibit a strong ability to predict global real economic growth.
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