How does skewness perform in the Chinese commodity futures market?
研究了中国商品期货市场中偏度与预期收益的负相关关系，发现偏度是有效的风险因子，投资者对低偏度要求正的风险补偿。
Abstract This paper investigates a negative relationship between skewness and expected returns in China's commodity futures market. Unlike the impact of skewness in the US commodity markets, the impact of skewness in Chinese commodity markets is completely monotonic and asymmetric, which indicates more potential arbitrage opportunities in China's commodity markets. Also, we demonstrate that skewness is an effective risk factor in China's commodity futures market that contains different information from traditional risk factors. Investors require positive risk compensation for lower skewness. Empirical findings are shown to be robust with alternative skewness measures in different business cycles.