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The untold story of commodity futures in China
16 references·5 citing·43 second hop
The untold story of commodity futures in China (2019)The untold story of commodity futures in …Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…Value and Momentum Everywhere (2013)Value and Momentum EverywhereThe Fundamentals of Commodity Futures Returns (2012)The Fundamentals of Commodity…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Momentum and post-earnings-an…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The investment behavior and performance of various investor types: a study of Finland's unique data set (2000)The investment behavior and p…Herding and Feedback Trading by Institutional and Individual Investors (1999)Herding and Feedback Trading …RETHINKING RISK MANAGEMENT (1996)RETHINKING RISK MANAGEMENTTrading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Speculation and Economic Stability (1939)Speculation and Economic Stab…The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods (2022)The impact of VIX on China’s …Night trading with futures in China: The case of Aluminum and Copper (2021)Night trading with futures in…Dynamic price discovery in Chinese agricultural futures markets (2021)Dynamic price discovery in Ch…Price discovery in chinese agricultural futures markets: A comprehensive look (2020)Price discovery in chinese ag…Herding behavior in the commodity markets of the Asia-Pacific region (2020)Herding behavior in the commo…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Mutual Fund Herding and the Impact on Stock Prices (1999)Institutional Investors and Equity Prices (2001)What Makes Investors Trade? (2001)A model of investor sentiment /Investor Psychology and Security Market Under‐ and Overreactions (1998)How Distance, Language, and Culture Influence Stockholdings and Trades (2001)Individual Investor Trading and Stock Returns (2008)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Time Series Momentum (2011)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)Options, Futures and Other Derivatives (2003)Financialization of Commodity Markets (2013)“Options, Futures, and Other Derivatives” (2016)Investor Sentiment and the Cross‐Section of Stock Returns (2006)In Search of Attention (2011)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)Editor's Choice Digesting Anomalies: An Investment ApproachLiquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2000The investment behavior and performance of various investor types: a study of Finland's unique data set1,639 cited
  • 1999Herding and Feedback Trading by Institutional and Individual Investors1,587 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 1996RETHINKING RISK MANAGEMENT1,205 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 2005Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk1,008 cited
  • 1939Speculation and Economic Stability913 cited

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2012
The Fundamentals of Commodity Futures Returns
760 cited

Cited by

  • 2020Price discovery in chinese agricultural futures markets: A comprehensive look110 cited
  • 2020Herding behavior in the commodity markets of the Asia-Pacific region59 cited
  • 2022The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods41 cited
  • 2021Dynamic price discovery in Chinese agricultural futures markets32 cited
  • 2021Night trading with futures in China: The case of Aluminum and Copper20 cited