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The Impact of Trading Activity in Agricultural Futures Markets

Author

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  • Zuppiroli, Marco
  • Donati, Michele
  • Riani, Marco
  • Verga, Giovanni

Abstract

The paper examines a causal link between trading activity and market factors as returns and volatility as well. The ratio of volume to open interest in futures contracts performs better than other parameters extensively adopted in literature. The reason probably depends on the daily frequency of information which gives statistical evidence to phenomena which conclude their effect in weekly intervals. The estimations for the contemporaneous model give statistical evidence of a mutual relationship between trading activity and realized volatility. The behaviour of all the twelve futures markets examined is quite similar and uniform respect to the scale of the coefficients and their temporal profile.

Suggested Citation

  • Zuppiroli, Marco & Donati, Michele & Riani, Marco & Verga, Giovanni, 2015. "The Impact of Trading Activity in Agricultural Futures Markets," 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy 207848, Italian Association of Agricultural and Applied Economics (AIEAA).
    • Handle: RePEc:ags:aiea15:207848
    DOI: 10.22004/ag.econ.207848
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    References listed on IDEAS

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    Keywords

    Agricultural and Food Policy;

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