EconPapers    
Economics at your fingertips  
 

Information Content of Trading Activity in Precious Metals Futures Markets

Elina Pradkhan

Journal of Futures Markets, 2016, vol. 36, issue 5, 421-456

Abstract: This study examines the predictive power of trading activity for returns in precious metals futures markets. Based on a Markov switching model, two market regimes are distinguished: “bull” markets that are characterized by rising prices and a low return volatility and “bear” markets that are associated with negative mean returns and a high return variability. There is robust evidence of significant Granger‐causal effects from trading activity to returns in “bull” and “bear” markets that are not detected by models without regime switching. Moreover, the relationship between trading activity and subsequent returns is often asymmetric in different market regimes. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:421–456, 2016

Date: 2016
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)
http://hdl.handle.net/

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: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:36:y:2016:i:5:p:421-456

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-06-02
Handle: RePEc:wly:jfutmk:v:36:y:2016:i:5:p:421-456