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

Zhang, Ren, Li, Youwei and McKillop, Donal (2012) The Effect of Historical Events on the Speed of Price Evolution Indexed by An Operational Time for China's Futures Market. In: Rising China in the Changing World Economy. Routledge, The UK, pp. 357-395. ISBN 978-0-415-61095-7

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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.

    Item Type: Book Section
    Uncontrolled Keywords: effect of historical events,speed of price evolution,china's futures market,operational time
    Faculty \ School: Faculty of Social Sciences > School of Economics
    Related URLs:
    Depositing User: Pure Connector
    Date Deposited: 27 Apr 2016 14:01
    Last Modified: 27 Jan 2019 01:16
    URI: https://ueaeprints.uea.ac.uk/id/eprint/58433
    DOI:

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