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Cross-correlations between agricultural commodity futures markets in the US and China

✍ Scribed by Zhihui Li; Xinsheng Lu

Book ID
113849464
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
817 KB
Volume
391
Category
Article
ISSN
0378-4371

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The response of volume and returns to th
The response of volume and returns to the information shocks in China's commodity futures markets
✍ Gongmeng Chen; Michael Firth; Yu Xin πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 333 KB πŸ‘ 1 views

This study investigates the response of returns and volume to different information shocks in China's commodity futures markets using bivariate moving average representation (BMAR) and bivariate vector autoregression (BVAR) methodologies. Consistent with the conclusions from stock market studies tha