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- Title
Trading volume and serial correlation in crude oil futures returns.
- Authors
Wang, Hua; Huang, Weige
- Abstract
Due to increasing speculation, crude oil futures are now becoming one of the highest traded commodities. This paper studies the relationship between trading volume and serial correlation in crude oil futures returns using high frequency data. We find that volume can positively predict the serial correlation in the short run (within an hour) but negatively predict the serial correlation in the midterm. The trading volume is not able to consistently predict serial correlation in the long run (more than a day). The results from our empirical studies are robust to a variety of controls and our study gives a new insight in the relation between volume and serial correlation of crude oil futures returns.
- Subjects
FUTURES; PETROLEUM; RATE of return; COMMODITY exchanges; DATA analysis
- Publication
International Journal of Financial Engineering, 2021, Vol 8, Issue 4, p1
- ISSN
2424-7863
- Publication type
Article
- DOI
10.1142/S242478632150016X