【本期主题】Liquidity and Volatility in the Chinese Commodity Futures Market

This paper systematically explores liquidity and volatility forecasting for Aluminum, Copper, Fuel Oil, and Sugar futures contracts in China using intraday and daily data. Adopting three popular liquidity estimators, we first show that contracts with three months to delivery enjoy the best liquidity for all commodities under scrutiny. The finding that nearby contracts are less liquid than the more distant contracts is novel and contrary to the pattern in other

major futures markets, and it results from unique institutional regulation in the Chinese futures markets. Utilizing more distant contracts and implementing four widely adopted volatility models for forecasting against alternative true volatility proxies, we provide strong evidence that the ARFIMA model consistently produces the best forecasts or forecasts not inferior to the best. This is robust for contracts with different liquidity levels.

【报告人】刘小泉 宁波诺丁汉大学商学院金融学副教授

【时 间】06月26日 下午14:00

【地 点】明德主楼0509室

【报告人简介】

刘小泉，宁波诺丁汉大学商学院金融学副教授。 她的研究领域包括:资产定价、衍生产品、金融计量等。在她加入诺丁汉大学中国商学院以前，曾在英国University of Essex任讲师和高级讲师，期间访问过密西根大学（安娜堡）Stephen M. Ross商学院和中国科学技术大学金融统计系。她多次在国际顶级金融经济期刊上发表文章，期刊包括the Journal of Economic Dynamics and Control, the Journal of Banking and Finance, and the European Journal of Operational Research等。

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