This study examines the daily volatility of four futures contracts on Chinese futures exchanges (copper, mungbeans, soybeans and wheat). We find that returns have asymmetric effects on volatility, meaning that negative returns have a greater effect on volatility than positive returns do. Volume is positively related to volatility, open interest is negatively related to volatility, and the extent of large-volume traders' participation is also positively related to volatility. We conjecture that the global patterns of volatility relationship, which have become more pronounced in Chinese markets in more recent years, are attributable to the results of ongoing government attempts to achieve transparency and better disclosure.
|Number of pages||15|
|Journal||Journal of International Financial Markets, Institutions and Money|
|Publication status||Published - Dec 2004|
- Chinese futures markets
ASJC Scopus subject areas
- Economics and Econometrics