The Chinese futures markets are among the fastest growing futures markets in the world. In terms of trading volume, the Chinese soybean futures market is the world's second largest, while China's copper and aluminum futures markets are the third largest in the world. The size of the Chinese futures markets, however, is not matched by the academic research on them. This article is the first to study the relationship between the Chinese and world futures markets of copper, aluminum, soybean and wheat, using Johansen's cointegration test, error correction model, the Granger causality test and impulse response analyses. We find that the futures prices in the Shanghai Futures Exchange are cointegrated with the futures prices on the London Metal Exchange (LME) for copper and aluminum. We also find that a cointegration relationship exists for Dalian Commodity Exchange and Chicago Board of Trade (CBOT) soybean futures prices, but no such relationship for Zhengzhou Commodity Exchange and CBOT wheat futures prices. We further find that while LME has a bigger impact on Shanghai copper and aluminum futures and CBOT a bigger impact on Dalian soybean futures, the Chinese futures markets also have a feedback impact on LME and CBOT futures.

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Purpose -The purpose of this paper is to examine whether the futures volatility could affect the investor behavior and what trading strategy different investors could adopt when they meet different information conditions. Design/methodology/approach -This study introduces a two-period overlapping generation model (OLG) model into the future market and set the investor behavior model based on the future contract price, which can also be extended to complete and incomplete information. It provides the equilibrium solution and uses cuprum tick data in SHFE to conduct the empirical analysis. Findings -The two-period OLG model based on the future market is consistent with the practical situation; second, the sufficient information investors such as institutional adopt reversal trading patterns generally; last, the insufficient information investors such as individual investors adopt momentum trading patterns in general. Research limitations/implications -Investor trading behavior is always an important issue in the behavioral finance and market supervision, but the related research is scarce. Practical implications -The conclusion shows that the investors' behavior in Chinese future market is different from the Chinese stock market. Originality/value -This study empirically analyzes and verifies the different types of trading strategies investors could; investors such as institutional ones adopt reversal trading patterns generally; while investors such as individual investors adopt momentum trading patterns in general.