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- W1533603104 abstract "This study examines the relationship between returns and trading volume of four actively traded commodity futures contracts in China. Correlation analyses and Granger causality tests are used to investigate contemporaneous and lead-lag relationships between trading volume and both signed and absolute return. We find that the contemporaneous correlations between return and trading volume are not significantly different from zero, and there is no linearly significant causality following from trading volume to return or from return to trading volume. However, the contemporaneous correlations between absolute return and trading volume are significantly positive in all futures markets, and there is a significant relationship of causality following from absolute return to trading volume, which contradicts the mixture of distributions hypothesis and supports the sequential information arrival hypothesis in all of the futures markets examined except for aluminum futures. We also find a significant causality following from trading volume to absolute settlement-to-settlement return in the copper (subsample 1) futures market, but not in the copper (subsample 2) futures market." @default.
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- W1533603104 date "2004-05-01" @default.
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- W1533603104 title "The Price-Volume Relationship in China's Commodity Futures Markets" @default.
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- W1533603104 doi "https://doi.org/10.1080/10971475.2004.11033497" @default.
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