An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets

✍ Scribed by Fujihara, Roger A.; Mougou�, Mbodja

• Publisher: John Wiley and Sons
• Year: 1997
• Tongue: English
• Weight: 277 KB
• Volume: 17
• Category: Article
• ISSN: 0270-7314
• DOI: 10.1002/(sici)1096-9934(199706)17:4<385::aid-fut2>3.0.co;2-d

✦ Synopsis

article examines the relationship between returns and trading volume for three petroleum futures contracts. Using daily data on futures prices and trading volume, the study first tests for linear causality between returns and volume. The results of this linear causality test show that futures returns and volume have no predictive power for one another. However, because the distribution of the returns and volume series provides some evidence of nonlinear dependence, the study formally tests for and finds evidence of significant nonlinearities in the returns and volume for the three petroleum futures contracts. The returns and volume series are then filtered for linear dependence through the use of a VAR process. A nonparametric test statistic based on the correlation in-We thank Andrew C. Szakmary for supplying the data used in this study. We also thank Deborah R. Kaplan and John Wagster for helpful comments and editorial assistance.