IDEAS home Printed from
MyIDEAS: Login to save this article or follow this journal

Information Flow between Price Change and Trading Volume in Gold Futures Contracts

  • Ramaprasad Bhar

    (School of Banking and Finance, University of New South Wales, Australia)

  • Shigeyuki Hamori

    (Graduate School of Economics, Kobe University, Japan)

This article examines the pattern of information flow between the percentage price change and the trading volume in gold futures contracts using daily data over a ten-year period. We employ the robust two-step procedure proposed by Cheung and Ng (1996) to detect the causality in variance. We find evidence of strong contemporaneous causality that is indicative of the mixture of distribution hypothesis of information flow. We also detect, although not as strong, lagged causality running from percentage price change to trading volume. This indicates mild support for sequential information flow as well directed from price change to trading volume. This is contrary to the documented behavior in agricultural futures and crude oil futures, where bi-directional causality has been reported. We hypothesize that this is probably due to the special nature of gold as a commodity and the fact that the gold market takes on added importance when the equity market underperforms.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

File URL:
Download Restriction: no

Article provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.

Volume (Year): 3 (2004)
Issue (Month): 1 (April)
Pages: 45-56

in new window

Handle: RePEc:ijb:journl:v:3:y:2004:i:1:p:45-56
Contact details of provider: Postal: 100 Wenhwa Road, Seatwen, Taichung
Web page:

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
  2. Hiemstra, Craig & Jones, Jonathan D, 1994. " Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation," Journal of Finance, American Finance Association, vol. 49(5), pages 1639-64, December.
  3. Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
  4. Ross, Stephen A, 1989. " Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy," Journal of Finance, American Finance Association, vol. 44(1), pages 1-17, March.
  5. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
  6. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
  7. Moosa, Imad A. & Silvapulle, Param, 2000. "The price-volume relationship in the crude oil futures market Some results based on linear and nonlinear causality testing," International Review of Economics & Finance, Elsevier, vol. 9(1), pages 11-30, February.
  8. Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ijb:journl:v:3:y:2004:i:1:p:45-56. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Yi-Ju Su)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.