Does speculation Granger cause return in Chinese commodity markets?

被引：2
|
作者：
Hu, Weigang [1 ,2 ]
Feng, Yun [1 ]
机构：
[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200030, Peoples R China
[2] Tongling Univ, Sch Finance, Tongling, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2016年 / 23卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Speculation; return; quantile regression; sup-Wald test; PRICE VARIABILITY; QUANTILE REGRESSION; VOLUME;
D O I：
10.1080/13504851.2015.1071463
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We test the Granger causal relations between speculation and returns in Chinese commodity markets using quantile regression method. We find that speculation Granger causes returns in rebar, bean pulp and rapeseed oil markets. At lower quantiles, estimates are negative; but estimates are positive at upper quantiles. This indicates that larger speculation results in larger return volatility.
引用
收藏
页码：294 / 297
页数：4
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