Daily volatility behaviour in agricultural futures market

• Main Authors: Ang, Kelly, Liang, Shibin, Lui, Duan Jie
• Other Authors: Low Buen Sin
• Format: Final Year Project
• Language: English
• Published: 2009
• Subjects: DRNTU::Business::Finance::Futures
• Online Access: http://hdl.handle.net/10356/15114
• Institution: Nanyang Technological University

This Applied Research Project investigates the effect of daily trading volume and open interest on the daily volatility of agricultural commodities futures. Past studies have shown that trading volume exhibits a positive relationship with return volatility while open interest is negatively correlate...