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.
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页数：29
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