The Effect of Historical Events on the Speed of Price Evolution Indexed by An Operational Time for China's Futures Market

Ren Zhang, Youwei Li, Donal McKillop

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Abstract

This paper investigates the effect of historical events on the speed of price evolution on China’s futures market. The effect of historical events is analysed by estimating multiple structural breaks in the MDH (mixture of distributions hypothesis) regressions for operational time. The conditional means of the best model show that some futures products’ prices exhibit short-term downturn in 2008 when the financial crisis occurred. However, the financial crisis does not slow down the speed of price evolution.
Original languageEnglish
Title of host publicationRising China in the Changing World Economy
EditorsLiming Wang
Place of PublicationThe UK
PublisherRoutledge
Pages357-395
Number of pages38
ISBN (Print)978-0-415-61095-7, 978-0-203-14459-6
Publication statusPublished - 2012

Keywords

  • Effect of historical events
  • Speed of price evolution
  • China's futures market
  • Operational time

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