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Quantile information share under Markov regime‐switching
Author(s) -
Lien Donald,
Wang Ziling,
Yu Xiaojian
Publication year - 2021
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.22181
Subject(s) - quantile , futures contract , volatility (finance) , saddle , markov chain , econometrics , spot contract , futures market , economics , financial economics , mathematics , statistics , mathematical optimization
This paper introduces a new quantile information share (QIS) method by extending the conventional QIS to Markov regime‐switching models. For most commodities in the full sample, our results show that the relationship among the spot QIS, the spot return quantile, and the futures return quantile is displayed by a saddle surface or a half saddle surface. The information share (IS) of the futures markets is saddle shaped in the low‐ and high‐volatility states. Moreover, the spot market has a larger IS in the low‐volatility state than that in the high‐volatility state for most commodities.