Price volatility, trading volume, and market depth in Asian commodity futures exchanges
This paper empirically investigates the impact of trading activity including trading volume and open interest on price volatility in Asian futures exchanges. Trading volume and open interest represent market information for investors. This study uses three different definitions of volatility: (1) da...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2016-01-01
|
| Series: | Kasetsart Journal of Social Sciences |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2452315116000059 |