Item

Information flow and causality between price change and trading volume in silver and platinum futures contracts

Abidin, Sazali
Banchit, A.
Lou, R.
Niu, Q.
Date
2013-04
Type
Journal Article
Fields of Research
ANZSRC::1502 Banking, Finance and Investment , ANZSRC::150205 Investment and Risk Management , ANZSRC::140210 International Economics and International Finance
Abstract
This study examines the joint relationship between the percentage price change and the trading volume of silver and platinum futures contracts traded on Commodity Exchange, Inc. (COMEX) using the daily time series which covering a period of ten years. We adopt the two-step procedures proposed by Cheung and Ng (1996) to detect the causality of information flow between price change and trading volume. We find that lagged causality in mean running from the price change to trading volume but not for opposite direction under the original AR-GARCH model. The causality in variance is not found in our results. After that, we find evidences of mild lagged causality in variance running from the percentage price change to the trading volume under the augmented AR-GARCH model, which supports the sequential information flow hypothesis and consistent with the previous study by Bhar and Hamori (2004) in gold futures contracts. However, the contemporaneous causality has been found in the gold futures contract is not consistent with our findings.
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© 2013. All rights reserved. International Journal of Economics, Finance and Management. http://www.ejournalofbusiness.org
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