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Displaying assets from 1 to 30 out of 16
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Description Correlations with stocks, bonds and inflation. This figure illustrates the pairwise correlations of strategy returns with equity, bond returns, and changes in unexpected inflation. The inflation...
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Liquidity, behavioral, and sentiment factors
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Performance of long‐only investments
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Correlations of strategies
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Decomposing long‐short strategy returns
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Extreme market conditions. The performance of long‐only and long‐short strategies under five different market conditions measured by the CSI300 index whose returns are sorted into quintiles (Q1–5)....
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Comparison between the United States and China
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Contracts specification
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Annual trading volumes. The annual trading volume of commodity futures in China is illustrated here. The line plot exhibits the total trading volume (expressed in trillions of RMB) of 48 commodity...
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Percentage of total trades. The percentage of total trades of long‐short strategies. (a) Long portfolios and (b) short portfolios. All strategies are evaluated based on the third nearest contracts....
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Performance of long‐short strategies
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Performance of passive long‐only investments. This figure illustrates the cumulative performance of the passive long‐only commodity portfolios in China. (a) The broad market performance (AVG)....
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Risks adjustments
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Summary statistics
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Cumulative returns. This figure illustrates the future value of 1 RMB invested in long‐only and long‐short strategies. AVG denotes the equally weighted portfolio of 30 commodities. To construct...
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets -
Description Time‐varying correlation. The dynamic correlations between long‐short strategies returns and the CSI 300. The correlations are estimated using the ADCC‐GARCH (1,1) model. The shaded areas represent...
Article Title: The untold story of commodity futures in China
Publication Title: Journal of Futures Markets