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Information Content of Trading Activity in Precious Metals Futures Markets

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  • Elina Pradkhan

Abstract

This study examines the predictive power of trading activity for returns in precious metals futures markets. Based on a Markov switching model, two market regimes are distinguished: “bull” markets that are characterized by rising prices and a low return volatility and “bear” markets that are associated with negative mean returns and a high return variability. There is robust evidence of significant Granger‐causal effects from trading activity to returns in “bull” and “bear” markets that are not detected by models without regime switching. Moreover, the relationship between trading activity and subsequent returns is often asymmetric in different market regimes. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:421–456, 2016

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  • Elina Pradkhan, 2016. "Information Content of Trading Activity in Precious Metals Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(5), pages 421-456, May.
    • Handle: RePEc:wly:jfutmk:v:36:y:2016:i:5:p:421-456
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    Cited by:

    1. Pradkhan, Elina, 2017. "Financial activity in agricultural futures markets: evidence from quantile regressions," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 61(4), October.
    2. Elina Pradkhan, 2017. "Financial activity in agricultural futures markets: evidence from quantile regressions," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 61(4), pages 610-625, October.

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