articleFinancial InnovationJan 19, 2026DIAMOND OA

Modelling the data-generating mechanism of China’s commodity market by identifying hidden information flow regimes

ZLZhengHui LiZCZhongxiu ChenZHZhehao Huang

Guangdong University Of Finances and Economics · Guangdong University of Finance

Indexed incrossrefdoaj

Abstract

Abstract The commodity market reflects extensive macroeconomic information, and quantifying these information flows through fluctuations in commodity price indices can enhance market monitoring and trend forecasting. This paper employs a high-order hidden Markov chain to quantify latent macroeconomic information flows in China’s Commodity Futures Index (CFI) over the period from June 25, 2004, to January 31, 2023. Our empirical findings offer valuable insights for investors and regulators. First, hidden macroeconomic information flows operate in either a high or low volatility regime. During the high-volatility regime, the CFI exhibits larger swings and more frequent jumps, underscoring the role of latent…

Citation impact

6
total citations
FWCI
264.92
Percentile
100%
References
78
Too recent for citation history.

Authors

3

Topics & keywords

Topics
Keywords
  • Futures contract
  • Volatility (finance)
  • Commodity
  • Markov chain
  • Information flow
  • Commodity market
  • Consumption (sociology)
  • Supply and demand
No related works found for this paper.

Funding