TY  - CPAPER 
AB  - The paper examines a causal link between trading activity and market factors as returns and volatility as well. The
ratio of volume to open interest in futures contracts performs better than other parameters extensively adopted in
literature. The reason probably depends on the daily frequency of information which gives statistical evidence to
phenomena which conclude their effect in weekly intervals. The estimations for the contemporaneous model give
statistical evidence of a mutual relationship between trading activity and realized volatility. The behaviour of all the
twelve futures markets examined is quite similar and uniform respect to the scale of the coefficients and their temporal
profile.
AU  - Zuppiroli, Marco
AU  - Donati, Michele
AU  - Riani, Marco
AU  - Verga, Giovanni
DA  - 2015-06
DA  - 2015-06
DO  - 10.22004/ag.econ.207848
DO  - doi
ID  - 207848
KW  - Agricultural and Food Policy
KW  - volatility
KW  - trading activity
KW  - commodity futures markets
KW  - agricultural commodities
L1  - https://ageconsearch.umn.edu/record/207848/files/The%20Impact%20of%20Trading%20Activity%20in%20Agricultural%20Futures%20Markets.pdf
L2  - https://ageconsearch.umn.edu/record/207848/files/The%20Impact%20of%20Trading%20Activity%20in%20Agricultural%20Futures%20Markets.pdf
L4  - https://ageconsearch.umn.edu/record/207848/files/The%20Impact%20of%20Trading%20Activity%20in%20Agricultural%20Futures%20Markets.pdf
LA  - eng
LK  - https://ageconsearch.umn.edu/record/207848/files/The%20Impact%20of%20Trading%20Activity%20in%20Agricultural%20Futures%20Markets.pdf
N2  - The paper examines a causal link between trading activity and market factors as returns and volatility as well. The
ratio of volume to open interest in futures contracts performs better than other parameters extensively adopted in
literature. The reason probably depends on the daily frequency of information which gives statistical evidence to
phenomena which conclude their effect in weekly intervals. The estimations for the contemporaneous model give
statistical evidence of a mutual relationship between trading activity and realized volatility. The behaviour of all the
twelve futures markets examined is quite similar and uniform respect to the scale of the coefficients and their temporal
profile.
PY  - 2015-06
PY  - 2015-06
T1  - The Impact of Trading Activity in Agricultural Futures Markets
TI  - The Impact of Trading Activity in Agricultural Futures Markets
UR  - https://ageconsearch.umn.edu/record/207848/files/The%20Impact%20of%20Trading%20Activity%20in%20Agricultural%20Futures%20Markets.pdf
Y1  - 2015-06
ER  -