We examine the dynamic relation between returns,volume,and volatility of our futures markets.The results show that there exists a positive correlation between absolute returns and volume,but no correlation between ret...We examine the dynamic relation between returns,volume,and volatility of our futures markets.The results show that there exists a positive correlation between absolute returns and volume,but no correlation between returns and volume; Granger causality demonstrate that no causality relation exists between returns (or absolute returns) and volume,except copper’s absolute returns causes volume;the conditional volatility of returns has no direct impact to futures returns; copper’ and soybean’ trading volume contributes strong explanatory power to volatility,but aluminous’ trading volume has no direct impact to volatility.展开更多
文摘We examine the dynamic relation between returns,volume,and volatility of our futures markets.The results show that there exists a positive correlation between absolute returns and volume,but no correlation between returns and volume; Granger causality demonstrate that no causality relation exists between returns (or absolute returns) and volume,except copper’s absolute returns causes volume;the conditional volatility of returns has no direct impact to futures returns; copper’ and soybean’ trading volume contributes strong explanatory power to volatility,but aluminous’ trading volume has no direct impact to volatility.
