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Title: The determinants of price volatility in China’s commodity futures markets
Authors: Xin, YU
Chen, GM
Firth, M
Issue Date: 2005
Source: China accounting and finance review (中國會計與財務硏究), Mar. 2005, v. 7, no. 1, p. 124-145 How to cite?
Journal: China accounting and finance review (中國會計與財務硏究) 
Abstract: This paper systematically investigates the main determinants of price volatility in China's commodity futures markets, including past price volatility, past unexpected returns, day effects, seasonality effects, year effects, time to maturity, trading volume, open interest, expected and unexpected trading activities, and asymmetrical effects of unexpected trading activities, especially for trading volume and open interest and their components. Based on the empirical results, we find that (1) the copper futures market was more mature and effective during 1999-2002 than during 1996-1998; (2) generally, there was a significant positive effect on price volatility for trading volume and unexpected trading volume in all four commodity futures markets, and during 1999-2002, the effect of unexpected trading volume was higher than that of expected trading volume in the copper, aluminum, and soybean markets; (3) the significant negative effect of open interest and expected open interest on price volatility are observed mainly in copper, soybean, and wheat markets during 1999-2002, and we can not find any consistent and significant effect of unexpected open interest on price volatility in all markets; (4) the asymmetry effect of unexpected volume on price volatility mainly existed in copper and soybean markets, and the asymmetry effect of unexpected open interest on price volatility mainly existed in the aluminum futures market. Finally, we discuss the policy implications based on the empirical results.
ISSN: 1029-807X
EISSN: 2307-3055
Rights: © 2005 香港理工大學, 清華大學, 牛津大學出版
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