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Liu Xiangli1; Wang Shouyang2
Source Publicationjournalofsystemsscienceandcomplexity
AbstractThis paper uses minute by minute data series from Chinese commodity futures markets to study patterns of intraday effect and discovers the L pattern of absolute return and volume. It is different from stock market, which has a distinctive pattern of U-shaped. The financial market microstructure theory, traders' psychology and trading mechanism are applied to explain it. Then this paper studies the factors that influence volatility of return and the lagged orders. The results show that there is a bilateral Granger causality among any two of the absolute return, volume and open interest, and it is different from the empirical results of the stock market, in the sense that there is only a unilateral Granger causal relationship from volume to absolute return. The authors also analyze the dynamic relationship among these three factors. The empirical results tell that the influence of open interest on volatility of absolute return and volume is weak, and there is a strong correlation between absolute return and volume. Some investment suggestions are offered from the analysis mentioned above.
Funding Project[National Science Fund of China] ; [Program for New Century Excellent Talents in University] ; [Program for Innovation Research in Central University of Finance and Economics]
Document Type期刊论文
Recommended Citation
GB/T 7714
Liu Xiangli,Wang Shouyang. studyontheintradaypatternandthedynamiccorrelationamongreturnvolumeandopeninterestevidencefromchinesecommodityfuturesmarkets[J]. journalofsystemsscienceandcomplexity,2015,28(1):156.
APA Liu Xiangli,&Wang Shouyang.(2015).studyontheintradaypatternandthedynamiccorrelationamongreturnvolumeandopeninterestevidencefromchinesecommodityfuturesmarkets.journalofsystemsscienceandcomplexity,28(1),156.
MLA Liu Xiangli,et al."studyontheintradaypatternandthedynamiccorrelationamongreturnvolumeandopeninterestevidencefromchinesecommodityfuturesmarkets".journalofsystemsscienceandcomplexity 28.1(2015):156.
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