Abstract
ABSTRACT This study is the first to conduct a comprehensive analysis of the price discovery and market liquidity aspects of China’s crude oil futures market compared to WTI and Brent. With intraday-day data consolidated into 1-second intervals and three measures of price discovery, we find that China’s crude oil futures market reports encouraging signs in terms of price discovery and efficiency, also showing great resilience during the COVID-19 pandemic. The market has obtained a dominant role in price discovery relative to WTI and Brent during its day trading hours, and has almost caught up with Brent in terms of market liquidity.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
