Trading volume and serial correlation in crude oil futures returns

Hua Wang () and Weige Huang
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Hua Wang: School of Business, Shenzhen Technology University, Shenzhen, P. R. China
Weige Huang: ��Wenlan School of Business, Zhongnan University of Economics and Law, Wuhan, P. R. China

International Journal of Financial Engineering (IJFE), 2021, vol. 08, issue 04, 1-11

Abstract: Due to increasing speculation, crude oil futures are now becoming one of the highest traded commodities. This paper studies the relationship between trading volume and serial correlation in crude oil futures returns using high frequency data. We find that volume can positively predict the serial correlation in the short run (within an hour) but negatively predict the serial correlation in the midterm. The trading volume is not able to consistently predict serial correlation in the long run (more than a day). The results from our empirical studies are robust to a variety of controls and our study gives a new insight in the relation between volume and serial correlation of crude oil futures returns.

Keywords: Crude oil futures; serial correlation; trading volume; high frequency data (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1142/S242478632150016X

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