The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets

DOI10.1016/J.MATCOM.2008.01.045zbMATH Open1152.91494OpenAlexW1980061905MaRDI QIDQ960338FDOQ960338

Authors: An-Sing Chen, Hung-Gay Fung, Erin H. C. Kao 

Publication date: 17 December 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.045

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zbMATH Keywords

impulse response analysisGranger-causality testhedging-based tradinginformation-based tradingtrading imbalance

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• The Price Variability-Volume Relationship on Speculative Markets

Cited In (3)

• An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern
• New evidence on the relation between return volatility and trading volume
• Informed futures trading and price discovery: evidence from Taiwan futures and stock markets

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