Information Flow between Price Change and Trading Volume in Gold Futures Contracts

Abstract

This article examines the pattern of information flow between the percentage price change and the trading volume in gold futures contracts using daily data over a ten-year pe-riod. We employ the robust two-step procedure proposed by Cheung and Ng (1996) to detect the causality in variance. We find evidence of strong contemporaneous causality that is in-dicative of the mixture of distribution hypothesis of information flow. We also detect, al-though not as strong, lagged causality running from percentage price change to trading vol-ume. This indicates mild support for sequential information flow as well directed from price change to trading volume. This is contrary to the documented behavior in agricultural futures and crude oil futures, where bi-directional causality has been reported. We hypothesize that this is probably due to the special nature of gold as a commodity and the fact that the gold market takes on added importance when the equity market underperforms. Key words: price-volume dynamics; spillover; causality; GARCH model

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 21 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.