The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets
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DOI: 10.1016/j.resourpol.2018.02.005
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Citations
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Cited by:
- Chen, Yu-Lun & Mo, Wan-Shin, 2023. "Determinants and dynamic interactions of trader positions in the gold futures market," Journal of Commodity Markets, Elsevier, vol. 31(C).
- Junior, Peterson Owusu & Tiwari, Aviral Kumar & Padhan, Hemachandra & Alagidede, Imhotep, 2020. "Analysis of EEMD-based quantile-in-quantile approach on spot- futures prices of energy and precious metals in India," Resources Policy, Elsevier, vol. 68(C).
- Chien-Hung Chen & Nicholas Lee & Fu-Min Chang & Li-Peng Lan, 2021. "Are global gold futures returns volatilities and trading activities threshold cointegrated?," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 13(5), pages 525-538, May.
- Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2024. "Volatility spillovers across the spot and futures oil markets after news announcements," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
- Chen, Xiangyu & Tongurai, Jittima, 2022. "Spillovers and interdependency across base metals: Evidence from China's futures and spot markets," Resources Policy, Elsevier, vol. 75(C).
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More about this item
Keywords
Q02; Q40; G12; Commodity; Spillover; Open interest; Trading volume; Speculators; Financialization;All these keywords.
JEL classification:
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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