A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?
利用逐笔数据，首次分析上海国际能源交易中心保税铜期货上市对上海期货交易所铜期货市场质量和价格发现的影响，发现新合约表现不佳但未显著扰乱原有市场。
Abstract Leveraging tick‐by‐tick data, this study provides the first analysis of Shanghai International Energy Exchange (INE) bonded copper futures' performance in market quality and price discovery. In particular, we investigate the effects of the market opening (listing of INE bonded copper futures) on Shanghai Futures Exchange (SHFE) copper futures' market quality and price discovery. Our results show that the market quality and price discovery of INE bonded copper futures in the first year of the listing is not promising. Our synthetic control method results suggest that market openness does not significantly reduce SHFE copper futures' market quality in terms of activity, liquidity, and volatility. Moreover, market openness does not significantly reduce the SHFE copper futures' price discovery effectiveness. Overall, the performance of new INE bonded copper futures needs improvement, while its listing did not disrupt SHFE copper futures. Our results suggest that a dual‐contract mode is an alternative option for internationalization in China's commodity futures markets.