Liquidity Commonality and the Risk Premium in the Chinese Metal Futures Market
Our study finds strong liquidity commonality across China's metal futures contracts, as about 47% of liquidity changes in individual contracts can be explained by a market-wide factor during 2019-2025. Liquidity fluctuations also show mean-reverting behavior, meaning they tend to return to normal levels after short-term shocks. Moreover, this co-movement in liquidity remains statistically sign
