Daily volatility behavior in Chinese futures markets

Kam C. Chan, Hung Gay Fung, Wai K. Leung

Research output: Journal PublicationArticlepeer-review

35 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)491-505
Number of pages15
JournalJournal of International Financial Markets, Institutions and Money
Volume14
Issue number5
DOIs
Publication statusPublished - Dec 2004
Externally publishedYes

Keywords

  • Chinese futures markets
  • Large-volume
  • Volatility

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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