|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|101660||2018||45 صفحه PDF||سفارش دهید||13780 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Asian Economics, Volume 54, February 2018, Pages 69-91
Chinese futures markets for agricultural commodities are among the fastest growing futures markets in the world and trading behaviour in those markets is perceived as highly speculative. We empirically investigate whether speculative activity in Chinese futures markets for agricultural commodities destabilizes futures returns. To capture speculative activity a speculation and a hedging ratio are used. Applying GARCH models we first analyse the influence of both ratios on the conditional volatility of eight heavily traded Chinese futures contracts. Additionally, VAR models in conjunction with Granger causality tests, impulse-response analyses and variance decompositions are used to obtain insight into the lead-lag relationship between speculative activity and returns volatility. For most of the commodities, we find a positive influence of the speculation ratio on conditional volatility. The results relying on the hedging ratio are inconclusive.