Volume and price relationships: Hypotheses and testing for agricultural futures

Malliaris, A. G.; Urrutia, Jorge L.

doi:10.1002/(sici)1096-9934(199802)18:1<53::aid-fut3>3.0.co;2-a

Cited by 46 publications

(24 citation statements)

References 32 publications

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“…On the basis of strong feedback relations between the chosen variables the inference may be drawn that that knowledge of one improves the ability to forecast another. The results of Granger Causality test are in conformity with the results of Grammatikos and Saunders (1986), Bessembinder and Seguin (1993), Malliaris and Urrutia (1998), Gwilym et al (1999) and McMillan and Speight (2002), who too reported a bi-directional relationship between volumes and returns.…”

Section: Discussionsupporting

confidence: 86%

“…These results indicate that there exists a two way relationship between the return of exchange rates and volumes of currency futures. The results of our study are in confirmation with the studies conducted in the past by Grammatikos and Saunders (1986), Bessembinder and Seguin (1993), Malliaris and Urrutia (1998), Gwilym et al (1999) and McMillan and Speight (2002) and are opposite to the results of Sharma (2011). …”

Section: Granger Causality Testsupporting

confidence: 80%

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Modelling volatility in Indian currency market

Mittal

Kumar

2016

IJBD

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Abstract:The present paper aims at studying the relationship between volatility in the exchange rate in the spot market and trading activity in the currency futures market. The data used in this paper comprises of daily exchange rate of USD in terms of Indian rupees for the sample period 1 January 2006 to 12 September 2011. The volatility of the exchange rates has been measured by applying suitable GARCH model. For establishing the feedback causality between the volatility in the spot exchange rate and trading activity in the currency futures market Granger causality test has been applied. The results of the study report a significant difference in the mean volatility in spot exchange rates return in pre futures period and post futures period. The estimated mean volatility is higher in post futures period indicating that futures have resulted in increase in the spot exchange rate returns. Further, the results of Granger causality test establish the bi-directional relationship between volatility in exchange rate returns and volumes in currency futures.

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Section: Discussionsupporting

confidence: 86%

Section: Granger Causality Testsupporting

confidence: 80%

Modelling volatility in Indian currency market

Mittal

Kumar

2016

IJBD

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“…The studies have been conducted for different time periods and on different sectors. Mahajan and Singh (2009) (2012), Khan and Rizwan (2008), Silvapulle and Choi (1999), Malabika et al (2008), Malliaris and Urrutia (1998) found the similar results. By examining the relationship of four Asian stock market i.e Singapore, Malaysia, the Philippines and Thailand, Moosa and Al-Loughani (1995) concluded the presence of bi-directional causality relationship for emerging Asian stock market.…”

Section: Literature Reviewmentioning

confidence: 68%

Study of Trading Volume and Stock Return Volatility at S&P CNX Nifty

Yadav¹,

Aggarwal²,

Khurana³

2018

APEEJAY

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Returns and volume are the two major pillars of the stock market which have drawn the attention of various analyst and economist over a period of time. Various studies have been conducted that studied the relationship between these variables. The present study investigates about these two dimensions. The daily closing data of S&P CNX Nifty has been studied starting from April 2001 to March 2011 for a period of ten years. The data has been checked for its stationarity by using Augmented Dickey Fuller Test. Further to check for the causal relationship between the variables, Granger Causality Test is used. Autoregressive Conditional Heteroskedasticity (ARCH) and General Autoregressive Conditional Heteroskedasticity (GARCH) models are applied to capture the effect of the changes in the past on the volatility of the stock market returns. The results show that causality run one way between the variables. The return causes volume but volume does not granger cause the return. Further, the result of ARCH and GARCH model shows that changes in the past is having a positive and significant effect on the return series. The results will thus provide guidance to the investors and brokers in taking rational decision with regards to the return and volume series. Keywords: Augmented Dickey Fuller, Granger Causality Test, ARCH, GARCH Model, S&P CNX Nifty IntroductionThe economic development of any country can be evaluated with the help of its capital market escalation. One can judge the growth of capital market through trading volume and stock market returns because that possesses the explanatory power to provide a transparent map of the capital market. Positive correlation has been seen in stock market returns and volume of trade in previous studies. Therefore, investors, policy makers, portfolio managers, brokers, academicians and regulators are intensively focused upon understanding the reasons for the volatility in stock returns and its relationship to trading volume. Volatility in stock market index affects the stock returns and volume of trading in the stock market. In spite of headwinds faced on account of a slow global economy, India's GDP is amongst the highest in the world at 7.6% which shows that India is on right track. The GDP of any country is the index of their growth of economic development where capital market of the country plays a vital role in it. The intensification of capital market can be judged by stock market returns and trading volume as it possesses the explanatory power that provide a transparent map of the capital market. In the capital market, stock market returns and volume of trade are influenced by systematic risk. Karpoff (1987) cited few reasons for discussing price-volume relation. First, the relationship between price-volume forms the basis of technical analysis and indicates about the bullish and bearish pattern of trend in the market. Technical and fundamental analysis of the specific stock affects the volatility in the stock market. In technical indicators, investor look after the re...

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“…Bessembinder and Seguin (1993) report similar findings across currency, metal, agriculture and financial contracts. Malliaris and Urrutia (1998) empirically document price-volume relationships for various agricultural contracts. Ciner (2002) reports that lagged volume is relevant for predicting absolute return for TOCOM platinum, gold and rubber futures contracts:…”

Section: Empirical Methodologymentioning

confidence: 99%

Economic linkages across commodity futures: Hedging and trading implications

Chng

2009

Journal of Banking & Finance

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Volume and price relationships: Hypotheses and testing for agricultural futures

Cited by 46 publications

References 32 publications

Modelling volatility in Indian currency market

Modelling volatility in Indian currency market

Study of Trading Volume and Stock Return Volatility at S&P CNX Nifty

Economic linkages across commodity futures: Hedging and trading implications

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