Trading Activity And Price Discovery Of The Chinese Crude Oil Futures Contract
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Trading Activity and Price Discovery of the Chinese Crude Oil Futures Contract
Author | : Petko S. Kalev |
Publisher | : |
Total Pages | : 0 |
Release | : 2023 |
Genre | : |
ISBN | : |
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Using high-frequency intraday data sampled on half-a-second frequencies for the Chinese crude oil futures contract (SC), we examine and compare trading dynamics of SC with both WTI and Brent oil futures contracts. We use a modified volume method to create a continuous SC time series, facilitating comparisons to both WTI and Brent oil securities. First, we present descriptive results for SC trading characteristics for the three trading sub-periods (morning, afternoon, and overnight sessions). Next, we examine the key market quality variables: price volatility, intraday trading volume, and liquidity for any of the trading sessions. Finally, we perform a price discovery analysis using the state-of-the-art Information Leadership Share metric. In contrast to the prior literature, we find that the SC dominates the WTI throughout all trading sessions. The Brent dominates the SC during the overnight session. However, the SC contributes more to the price discovery process during both daily trading periods. Our findings are of interest to oil traders, commodity investors, futures exchange officials, and financial risk managers seeking to understand or engage with the Chinese oil futures markets.
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