VOLATILITY AND LIQUIDITY OF CME CORN MARKET

被引:0
|
作者
Malec, Karel [1 ]
Gebeltova, Zdenka [1 ]
Maitah, Mansoor [1 ]
机构
[1] CULS Prague, Fac Econ & Management, Dept Econ, Prague, Czech Republic
关键词
corn; volatility; liquidity; seasonality; futures; volume; IMPACT; TRADE;
D O I
暂无
中图分类号
F3 [农业经济];
学科分类号
0202 ; 020205 ; 1203 ;
摘要
The aim of this paper is to determine if there is a relationship between the volatility and liquidity in the corn market at CME. The sub-objective is to identify the seasonality related with the harvest of major producers. The data set is based on closing daily prices, liquidity (volume) and open interest at CME futures market for the period 2006 - 2015. The historical volatility index was used to determine volatility in the data. The seasonality pattern is obvious only for volume of individual contract months of corn futures. The analysis of daily closing prices found the more volatile second part of the calendar year, but this volatility decreases by the end of November and is the lowest in February. It was the year beginnings which were supposed to be more volatile, because the new harvest is traded via the December contracts. The liquidity is probably related with the business cycle. The observed volume reached its maximums during the years of world financial crisis (2008 - 2009). The seasonality pattern is obvious only for volume of individual contract months of corn futures. The volume is the highest for December contracts and then it gradually decreases for the rest of contracts. This findings corresponds with the assumption about the impact of harvests. Analysis of individual futures contract volatility didn't prove this assumption. Relationship for liquidity and volatility hasn't been found.
引用
收藏
页码:159 / 166
页数:8
相关论文
共 50 条
  • [1] Liquidity and volatility in the US Treasury market
    Giang Nguyen
    Engle, Robert
    Fleming, Michael
    Ghysels, Eric
    [J]. JOURNAL OF ECONOMETRICS, 2020, 217 (02) : 207 - 229
  • [2] Volatility and Liquidity in the Real Estate Market
    He, Xin
    Lin, Zhenguo
    Liu, Yingchun
    [J]. JOURNAL OF REAL ESTATE RESEARCH, 2018, 40 (04) : 523 - 550
  • [3] Expectation, volatility and liquidity in the housing market
    Zheng, Xian
    [J]. APPLIED ECONOMICS, 2015, 47 (37) : 4020 - 4035
  • [4] LIQUIDITY COSTS IN THE CORN FUTURES MARKET
    BRORSEN, BW
    NIELSEN, RJ
    [J]. AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 1986, 68 (05) : 1382 - 1382
  • [5] Liquidity supply and volatility: Futures market evidence
    Locke, PR
    Sarkar, A
    [J]. JOURNAL OF FUTURES MARKETS, 2001, 21 (01) : 1 - 17
  • [6] Market liquidity and excess volatility: Theory and experiment
    Choi, Jae Hoon
    Munro, David
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2022, 139
  • [7] The effect of market transparency: volatility and liquidity in the korean stock market
    Lee S.B.
    Chung J.S.
    [J]. Review of Quantitative Finance and Accounting, 1998, 11 (1) : 23 - 35
  • [8] Mutual fund skill in timing market volatility and liquidity
    Foran, Jason
    O'Sullivan, Niall
    [J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2017, 22 (04) : 257 - 273
  • [10] Liquidity and volatility in the U.S. Treasury market
    Nguyen, Giang
    Engle, Robert
    Fleming, Michael
    Ghysels, Eric
    [J]. Journal of Econometrics, 2020, 217 (02): : 207 - 229