Return and volatility co-movement in commodity futures markets: the effects of liquidity risk

DOI10.1080/14697688.2018.1444562MaRDI QIDQ5026527zbMATH OpenOpenAlexWikidataFDO

Authors Yongmin Zhang, Shusheng Ding

Publication date 8 February 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2018.1444562

zbMATH Keywords

commodity futures marketsliquidity effectsprice co-movementvolatility co-movement

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(5)

• Predictability of structural co-movement in commodity prices: the role of technical indicators
• Factor pricing in commodity futures and the role of liquidity
• Negative correlation between stock and futures returns: an unexploited hedging opportunity?
• The impact of trading activity on volatility transmission and interdependence among agricultural commodity markets
• Research on the co-movement effect between China's financial markets -- a study based on a mixed-frequency copula model

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