The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets (Q960338)
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scientific article; zbMATH DE number 5383099
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| English | The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets |
scientific article; zbMATH DE number 5383099 |
Statements
The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets (English)
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17 December 2008
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trading imbalance
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information-based trading
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hedging-based trading
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Granger-causality test
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impulse response analysis
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0.7280279397964478
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0.7261159420013428
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0.7120236754417419
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0.709824800491333
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