Daily volatility behaviour in agricultural futures market

• المؤلفون الرئيسيون: Ang, Kelly, Liang, Shibin, Lui, Duan Jie
• مؤلفون آخرون: Low Buen Sin
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2009
• الموضوعات: DRNTU::Business::Finance::Futures
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/15114

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...