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The response of volume and returns to the information shocks in China's commodity futures markets

✍ Scribed by Gongmeng Chen; Michael Firth; Yu Xin

Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
333 KB
Volume
25
Category
Article
ISSN
0270-7314

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✦ Synopsis

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 that have used these methodologies, it is found that the informational/permanent components are the dominant components for returns movements, and the noninformational/transitory components are the dominant components for trading volume. It is also

The authors thank Bob Webb, Editor of the Journal of Futures Markets, and an anonymous reviewer for valuable comments on previous versions of the article.

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