Does speculation Granger cause return in Chinese commodity markets?

Weigang Hu and Yun Feng

Applied Economics Letters, 2016, vol. 23, issue 4, 294-297

Abstract: We test the Granger causal relations between speculation and returns in Chinese commodity markets using quantile regression method. We find that speculation Granger causes returns in rebar, bean pulp and rapeseed oil markets. At lower quantiles, estimates are negative; but estimates are positive at upper quantiles. This indicates that larger speculation results in larger return volatility.

Date: 2016
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DOI: 10.1080/13504851.2015.1071463

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