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 language | English |
|---|---|
| Title of host publication | Rising China in the Changing World Economy |
| Editors | Liming Wang |
| Place of Publication | The UK |
| Publisher | Routledge |
| Chapter | 15 |
| Pages | 357-395 |
| Number of pages | 38 |
| ISBN (Print) | 978-0-415-61095-7, 978-0-203-14459-6 |
| Publication status | Published - 2012 |
Keywords
- Effect of historical events
- Speed of price evolution
- China's futures market
- Operational time