Abstract
This study is the first to conduct a comprehensive analysis of the price discovery and market liquidity aspects of China’s crude oil futures market compared to WTI and Brent. With intraday-day data consolidated into 1-second intervals and three measures of price discovery, we find that China’s crude oil futures market reports encouraging signs in terms of price discovery and efficiency, also showing great resilience during the COVID-19 pandemic. The market has obtained a dominant role in price discovery relative to WTI and Brent during its day trading hours, and has almost caught up with Brent in terms of market liquidity.
| Original language | English |
|---|---|
| Pages (from-to) | 1885-1893 |
| Number of pages | 9 |
| Journal | Applied Economics Letters |
| Volume | 31 |
| Issue number | 18 |
| DOIs | |
| Publication status | Published - 2024 |
Keywords
- COVID-19
- crude oil futures
- futures and options
- market liquidity
- Market microstructure
- market quality
- price discovery
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