The difference in the intraday return-volume relationships of spot and futures: a quantile regression approach

Abstract

This study illuminates the difference in the intraday return-volume relationships of spot and index futures. The quantile regression analyses show that the widening effect of the spot trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the futures trading volume on the distribution of spot returns remains over the relatively long term. The short-term effect of the spot volume and the long-term effect of the futures volume are consistent for trading volume shocks. The findings suggest that the spot volume is primarily induced by the demand for hedging or differences of opinion, whereas the futures volume contains information about price movements.

Volatility Spillovers between Equity and Green Bond Markets

“…For example, some previous studies analyze the relationship between volatility movements and economic factors in financial markets (Shim, Kim, Kim, and Ryu, 2015 [31]; Lee and Ryu, 2018 [32]; Lee and Ryu, 2019 [33]). Other studies examine the return and volatility transmissions between related markets (Guo, Han, Liu, and Ryu, 2013 [34]; Kim, Ryu, Seo, 2015 [35]; Lee, Kang, and Ryu, 2015 [36]; Lee and Ryu, 2016 [37]; Lee, Lee, and Ryu, 2019 [38]). The more recent studies introduce the cross-market effects in explaining return dynamics, volatility dynamics, and volatility spillovers, aiming to broaden our knowledge on the volatility dynamics (Han, Kutan, and Ryu, 2015 [39]; Izadi and Hassan, 2018 [40]; Park, Kutan, and Ryu, 2019 [41]; Song, Ryu, and Webb, 2016, 2018 [42,43]; Yang, Kim, Kim, and Ryu, 2018 [44]).…”

Time‐series momentum in China's commodity futures market

“…In this study, we construct a cross-sectional momentum strategy following 5 The dominance of speculative trading seems to be a common phenomenon observed in Asia's emerging futures markets. Many recent studies report the dominance of speculative trading in the Asian futures markets, including the Korean and Taiwanese futures markets (Atilgan, Demirtas, & Simsek, 2016;Chou, Wang, & Wang, 2015;Han, Hwang, & Ryu, 2015;Lee, Lee, & Ryu, 2019;Ryu, 2011Ryu, , 2013Ryu, , 2015Webb, Ryu, Ryu, & Han, 2016), which are closely related to the Chinese futures markets in terms of geography, trading activities, and investor compositions. Asness et al (2013) methodology, which compares and ranks the returns of the instruments over the past 12 months.…”