Which liquidity indicator is more informative to market volatility? Spectrum analysis of China's base metal futures market

被引：0
|
作者：
Chen, Xiangyu [1 ]
Tongurai, Jittima [2 ]
机构：
[1] Univ Int Business & Econ, Sch Banking & Finance, 10 Huixin East St, Beijing, Peoples R China
[2] Kobe Univ, Grad Sch Business Adm, 2-1 Rokkodai, Kobe 6578501, Japan
来源：
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2023年 / 68卷
关键词：
Trading volume; Open interest; Price volatility; Spectrum analysis; Futures market; TRADING VOLUME; RETURN VOLATILITY; FOREIGN-EXCHANGE; ORDER FLOW; FREQUENCY; PRICE; MODEL; OIL; DETERMINANTS; TRANSMISSION;
D O I：
10.1016/j.najef.2023.101962
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
By applying the frequency domain causality test and cross-spectral coherence analysis, this study investigates the informational effects of liquidity indicators on the volatility of China's base metal futures market from January 2016 to June 2022. We find that trading volume is more informative in economically explaining the price variations of most base metal futures for all frequency horizons, while open interest is more informative to Granger-cause economic innovations in the market volatility of the lead and nickel futures markets both in the short and long run. The coherence levels between the underlying frequency components for open interest are found to be greater than those for trading volume, suggesting that price volatility in China's base metal futures market would be more responsive to shocks in open interest.
引用
收藏
页数：29
相关论文
共 42 条
  • [1] China 's futures market volatility and sectoral stock market volatility prediction
    Zeng, Qing
    Zhang, Jixiang
    Zhong, Juandan
    ENERGY ECONOMICS, 2024, 132
  • [2] Which sentiment index is more informative to forecast stock market volatility? Evidence from China
    Liang, Chao
    Tang, Linchun
    Li, Yan
    Wei, Yu
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2020, 71
  • [3] Analysis on Impact of China's Stock Index Futures on Stock Market Liquidity
    Hao Guiyan
    PROCEEDINGS OF THE 10TH INTERNATIONAL CONFERENCE ON INNOVATION AND MANAGEMENT, 2013, : 50 - 55
  • [4] Liquidity of China's agricultural futures market: measurement and cross-market dependence
    Xu, Yuanyuan
    Li, Jian
    Wang, Linjie
    Li, Chongguang
    CHINA AGRICULTURAL ECONOMIC REVIEW, 2022, 14 (02) : 443 - 463
  • [5] Analysis on China's Energy Futures Market
    Mi Wentong
    2011 INTERNATIONAL CONFERENCE ON ELECTRONICS, COMMUNICATIONS AND CONTROL (ICECC), 2011, : 3556 - 3559
  • [6] Cross-commodity hedging for illiquid futures: Evidence from China's base metal futures market
    Chen, Xiangyu
    Tongurai, Jittima
    GLOBAL FINANCE JOURNAL, 2021, 49
  • [7] An Empirical Analysis of the Effects of the Stock Index Futures on the Spot Market Volatility of China
    Che, Hui-Chun
    Cao, Fang
    PROCEEDINGS OF THE 2014 INTERNATIONAL CONFERENCE ON ECONOMIC MANAGEMENT AND TRADE COOPERATION, 2014, 107 : 249 - 254
  • [8] Analysis on psychology of manipulative behaviors in China's futures market
    Zhang, YZ
    Liu, XH
    PROCEEDINGS OF 2003 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS I AND II, 2003, : 2617 - 2621
  • [9] The Leverage Effect and Fat-tails in China's Futures Market A bayesian analysis of stochastic volatility models
    An, Guozhi
    Lao, Lanjun
    2014 SEVENTH INTERNATIONAL SYMPOSIUM ON COMPUTATIONAL INTELLIGENCE AND DESIGN (ISCID 2014), VOL 1, 2014, : 120 - 123
  • [10] Low-Frequency Volatility in China's Gold Futures Market and Its Macroeconomic Determinants
    Liu, Song
    Tang, Tingfei
    McKenzie, Andrew M.
    Liu, Yibin
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2015, 2015
12345