Policy impact on volatility dynamics in commodity futures markets: Evidence from China
研究了中国政府一系列股指期货交易新政策对商品市场波动的影响，发现政策与市场力量之间存在新的交互作用，影响波动性。
Chinese financial markets play an ever more pertinent role in the global economic context and are therefore increasingly relevant for stabilizing the economy. In this paper, we scrutinize the impact of a series of new policies on stock index futures trading, which have recently been enacted by the Chinese government. We pay particular attention to the way in which these have influenced commodity market volatilities and how their impact on liquidity has affected volatility more generally. Our results reveal a novel interaction between the new government policy and market forces which drive volatilities in commodity markets.