The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets.

NEW York (N.Y.); NEW York (State); CHINA; UNITED States

This study examines the information flow and market efficiency between the metallurgical futures markets of the United States and China over a ten-year span from 1999 to 2009. There were structural breaks in the aluminum and copper futures price series for the New York Mercantile Exchange (NYMEX) and Shanghai Futures Exchange (SHFE) between 2006 and 2008. The New York and Shanghai markets are cointegrated, indicating an equilibrium relationship between the two markets. Trading strategies are implemented to explore the error-correction process. The overall results show that U.S. and Shanghai futures prices are closely related and both markets are comparably efficient on a daily basis. The U.S. market does not appear to be more efficient than the Chinese market in incorporating information into prices. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark [ABSTRACT FROM AUTHOR]

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