Information Arrival between Price Change and Trading Volume in Crude Palm Oil Futures Market: A Non-linear Approach

• 발행기관: 한국유통과학회
• 저자명: You-How Go Wee-Yeap Lau
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 3 No.3, 79~91쪽, 전체 13쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2016.08.31

영문 초록

This paper is the first of its kind using a non-linear approach based on cross-correlation function (CCF) to investigate the information arrival hypothesis in crude pal oil (CPO) futures market. Base on daily data from 1985 to 2010, our empirical results reveal that: First, the volume of volatility is not a proxy of information flow. Second, dependence causality running from current return to future volume in conditional variance exhibit and asymmetric pattern of time span with different signs of correlation between price and volume series. This finding indicates the presence of noise traders hypothesis of price-volume interaction in CPO futures market. Both findings suggest that this futures market is weak-form inefficiency. In terms of investors behavior, they tend to change their expectations on current return based on errors made in previous trade in generating abnormal volume in the subsequent period. As implied, it is advisable for the investors devise their future trading strategies according to time span and change of return.

목차

1. Introduction

2. Literature Review

3. Data and Methodology

4. Results and Discussion

5. Conclusions

References

키워드

Price Change-Volume Dynamics AR-GARCH Model Cross-Correlation Function Causality-in-Variance Dependence Causality