Quantile information share under Markov regime‐switching

Donald Lien, Ziling Wang and Xiaojian Yu

Journal of Futures Markets, 2021, vol. 41, issue 4, 493-513

Abstract: This paper introduces a new quantile information share (QIS) method by extending the conventional QIS to Markov regime‐switching models. For most commodities in the full sample, our results show that the relationship among the spot QIS, the spot return quantile, and the futures return quantile is displayed by a saddle surface or a half saddle surface. The information share (IS) of the futures markets is saddle shaped in the low‐ and high‐volatility states. Moreover, the spot market has a larger IS in the low‐volatility state than that in the high‐volatility state for most commodities.

Date: 2021
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https://doi.org/10.1002/fut.22181

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