Contemporaneous and Asymmetric Properties in the Price-Volume Relationships in China's Agricultural Futures Markets

Abstract

In this paper, we choose six representative futures contracts—soybean, soy meal, corn, hard wheat, strong gluten wheat, and sugar—from China's futures markets to examine predictability and market efficiency from the perspective of the price-volume relationships. Our empirical results show that there is a positive unidirectional causality relationship between volume and return (absolute return). We also find that the trading volumes behave asymmetrically in bull and bear markets, which supports the "heterogeneity of traders" hypothesis but contradicts the "short-selling constraint" hypothesis. Finally, we find that China's futures markets are predictable using historical information and thus are not informationally efficient.

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