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

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  • Gongmeng Chen
  • Michael Firth
  • Yu Xin

Abstract

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 found that the market response of copper futures improved during the sample period, and the market responses of actively traded futures (copper and soybeans) are better than those of the less actively traded futures (aluminum and wheat). © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:893–916, 2005

Suggested Citation

  • Gongmeng Chen & Michael Firth & Yu Xin, 2005. "The response of volume and returns to the information shocks in China's commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(9), pages 893-916, September.
    • Handle: RePEc:wly:jfutmk:v:25:y:2005:i:9:p:893-916
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    Cited by:

    1. Sang‐Kuck Chung, 2009. "Out‐of‐sample Hedge Performances for Risk Management in China Commodity Futures Markets," Asian Economic Journal, East Asian Economic Association, vol. 23(3), pages 349-372, September.
    2. Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.

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