Economics at your fingertips  

The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market

You-How Go and Wee Yeap Lau ()

Journal of Commodity Markets, 2020, vol. 17, issue C

Abstract: This study examines price-volume relation in crude palm oil (CPO) futures market during the pre-crisis, crisis and post-crisis periods. Based on daily data from January 2000 to July 2017, cross-correlation function (CCF) provides four findings: First, volatilities of past trading volume and current return are correlated in pre- and post-crisis with an inconsistent sign, supporting the nature of noise trader demand. Second, in the pre-crisis period, both volatilities are negatively correlated within a short time span. Third, during the crisis period, there is no volatility spillover between both series. Fourth, in the post-crisis period, both volatilities of past trading volume and current return are positively correlated within a long time span, in addition to volatility spillover from the current return to the future trading volume which also happens within a short time span. Notably, significant volatility spillovers from trading volume to return across the crisis change the sign of correlations with a longer time span, supporting the “heterogeneity of traders” hypothesis. This study suggests that market participants have become risk-averse, particularly after the crisis. As a result, there has been an increase in volatility persistence which reduces the level of informational efficiency.

Keywords: Global financial crisis; Price-volume relation; Informational efficiency; Crude palm oil; Futures market; Heterogeneity of traders; Noise traders (search for similar items in EconPapers)
JEL-codes: G12 G13 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.jcomm.2018.10.003

Access Statistics for this article

Journal of Commodity Markets is currently edited by Marcel Prokopczuk, Betty Simkins and Sjur Westgaard

More articles in Journal of Commodity Markets from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-10-06
Handle: RePEc:eee:jocoma:v:17:y:2020:i:c:s2405851317300028