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Applied Economics Letters Volume 23, 2016 - Issue 4
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Original Articles

Does speculation Granger cause return in Chinese commodity markets?

Weigang HuAntai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, China;School of Finance, Tongling University, Tongling, ChinaCorrespondence[email protected]
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Yun FengAntai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, ChinaView further author information
Pages 294-297 | Published online: 28 Sep 2015

References

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  • Chuang, C., C. Kuan, and H. Lin. 2009. “Causality in Quantiles and Dynamic Stock Return–Volume Relations.” Journal of Banking & Finance 33: 1351–1360. doi:10.1016/j.jbankfin.2009.02.013.
  • Cornell, B. 1981. “The Relationship between Volume and Price Variability in Futures Markets.” Journal of Futures Markets 1: 303–316. doi:10.1002/(ISSN)1096-9934.
  • Garcia, P., R. M. Leuthold, and H. Zapata. 1986. “Lead-Lag Relationships between Trading Volume and Price Variability: New Evidence.” Journal of Futures Markets 6: 1–10. doi:10.1002/(ISSN)1096-9934.
  • Granger, C. W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods.” Econometrica 37: 424–438. doi:10.2307/1912791.
  • Koenker, R., and J. A. F. Machado. 1999. “Goodness of Fit and Related Inference Processes for Quantile Regression.” Journal of the American Statistical Association 94: 1296–1310. doi:10.1080/01621459.1999.10473882.
  • Tauchen, G. E., and M. Pitts. 1983. “The Price Variability-Volume Relationship on Speculative Markets.” Econometrica 51: 485–505. doi:10.2307/1912002.
  • Wang, C. 2003. “The Behavior and Performance of Major Types of Futures Traders.” Journal of Futures Markets 23: 1–31. doi:10.1002/(ISSN)1096-9934.

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