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Study on the intraday pattern and the dynamic correlation among return, volume and open interest — evidence from Chinese commodity futures markets

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Abstract

This paper uses minute by minute data series from Chinese commodity futures markets to study patterns of intraday effect and discovers the L pattern of absolute return and volume. It is different from stock market, which has a distinctive pattern of U-shaped. The financial market microstructure theory, traders’ psychology and trading mechanism are applied to explain it. Then this paper studies the factors that influence volatility of return and the lagged orders. The results show that there is a bilateral Granger causality among any two of the absolute return, volume and open interest, and it is different from the empirical results of the stock market, in the sense that there is only a unilateral Granger causal relationship from volume to absolute return. The authors also analyze the dynamic relationship among these three factors. The empirical results tell that the influence of open interest on volatility of absolute return and volume is weak, and there is a strong correlation between absolute return and volume. Some investment suggestions are offered from the analysis mentioned above.

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Authors and Affiliations

  1. School of Finance, Central University of Finance and Economics, Beijing, 100081, China

    Xiangli Liu

  2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China

    Shouyang Wang

Authors
  1. Xiangli Liu
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  2. Shouyang Wang
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Correspondence to Xiangli Liu.

Additional information

This research was supported by the National Science Fund of China under Grant Nos. 71471182 and 71071170, Program for New Century Excellent Talents in University under Grant No. NCET-11-0750 and Program for Innovation Research in Central University of Finance and Economics.

This paper was recommended for publication by Editor YANG Cuihong.

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Liu, X., Wang, S. Study on the intraday pattern and the dynamic correlation among return, volume and open interest — evidence from Chinese commodity futures markets. J Syst Sci Complex 28, 156–174 (2015). https://doi.org/10.1007/s11424-015-2059-y

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  • DOI: https://doi.org/10.1007/s11424-015-2059-y

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