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The response of volume and returns to the information shocks in China's commodity futures markets
Author(s) -
Chen Gongmeng,
Firth Michael,
Xin Yu
Publication year - 2005
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20165
Subject(s) - futures contract , bivariate analysis , economics , vector autoregression , financial economics , futures market , econometrics , china , commodity , structural vector autoregression , forward market , stock market , stock (firearms) , monetary economics , monetary policy , mathematics , finance , statistics , geography , context (archaeology) , archaeology
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