The Impact of Trading Activity in Agricultural Futures Markets

Marco Zuppiroli, Michele Donati, Marco Riani and Giovanni Verga

No 207848, 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy from Italian Association of Agricultural and Applied Economics (AIEAA)

Abstract: The paper examines a causal link between trading activity and market factors as returns and volatility as well. The ratio of volume to open interest in futures contracts performs better than other parameters extensively adopted in literature. The reason probably depends on the daily frequency of information which gives statistical evidence to phenomena which conclude their effect in weekly intervals. The estimations for the contemporaneous model give statistical evidence of a mutual relationship between trading activity and realized volatility. The behaviour of all the twelve futures markets examined is quite similar and uniform respect to the scale of the coefficients and their temporal profile.

Keywords: Agricultural; and; Food; Policy (search for similar items in EconPapers)
Pages: 21
Date: 2015-06
New Economics Papers: this item is included in nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aiea15:207848

DOI: 10.22004/ag.econ.207848

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