This study investigates the relationship between trading volume and returns in SET50 index Futures market in the period from April 2006 to December 2008 using 653 observations. From previous studies, we include three ...This study investigates the relationship between trading volume and returns in SET50 index Futures market in the period from April 2006 to December 2008 using 653 observations. From previous studies, we include three methodologies namely the GARCH model, the Generalized Method of Moments （GMM） to estimate systems of equations and the Granger causality test to investigate the relationship more thoroughly. In addition, we introduce the lagged volume as a new explanatory variable in the GARCH model. Overall, the results show the significant contemporaneous and dynamic relationships between trading volume and returns volatility which support the sequential information arrival hypothesis and imply some degree of market inefficiency. The results from this study also show that past information of trading volume can be used to improve the prediction of price volatility. Therefore, regulators and traders could include past information of trading volume of SET50 index futures in tracking and monitoring the market volatility level and the investment risk in order to make a timely decision.展开更多
China has marked itself in the world;it has trade partners allaround the globe.During therecent years,China has turned its attention to Africa.Mauritius,a small island in the Indian Ocean,has also received help from C...China has marked itself in the world;it has trade partners allaround the globe.During therecent years,China has turned its attention to Africa.Mauritius,a small island in the Indian Ocean,has also received help from China in terms of loans and foreign direct investments.Since the establishment of diplomatic relations in 1972 between Mauritius and China,the trade between the two countries has increased at a rapid pace.展开更多
On November 21 of 2011, Pascal Lamy, director-general of World Trade Or- ganization (WTO) warned in his annual report that the forecast for world export growth revised downwards to 5.8% in 2011 from the earlier estima...On November 21 of 2011, Pascal Lamy, director-general of World Trade Or- ganization (WTO) warned in his annual report that the forecast for world export growth revised downwards to 5.8% in 2011 from the earlier estimate of 6.5%, because of the worsening of global economy展开更多
Securities regulators formulated the risk-control mechanism prior to launch of stock index futures in China For three years Wang Liangguang, an experienced stock investor, waited patiently for the trading of stock ind...Securities regulators formulated the risk-control mechanism prior to launch of stock index futures in China For three years Wang Liangguang, an experienced stock investor, waited patiently for the trading of stock index futures. And now, that day展开更多
文摘This study investigates the relationship between trading volume and returns in SET50 index Futures market in the period from April 2006 to December 2008 using 653 observations. From previous studies, we include three methodologies namely the GARCH model, the Generalized Method of Moments （GMM） to estimate systems of equations and the Granger causality test to investigate the relationship more thoroughly. In addition, we introduce the lagged volume as a new explanatory variable in the GARCH model. Overall, the results show the significant contemporaneous and dynamic relationships between trading volume and returns volatility which support the sequential information arrival hypothesis and imply some degree of market inefficiency. The results from this study also show that past information of trading volume can be used to improve the prediction of price volatility. Therefore, regulators and traders could include past information of trading volume of SET50 index futures in tracking and monitoring the market volatility level and the investment risk in order to make a timely decision.
文摘China has marked itself in the world;it has trade partners allaround the globe.During therecent years,China has turned its attention to Africa.Mauritius,a small island in the Indian Ocean,has also received help from China in terms of loans and foreign direct investments.Since the establishment of diplomatic relations in 1972 between Mauritius and China,the trade between the two countries has increased at a rapid pace.
文摘On November 21 of 2011, Pascal Lamy, director-general of World Trade Or- ganization (WTO) warned in his annual report that the forecast for world export growth revised downwards to 5.8% in 2011 from the earlier estimate of 6.5%, because of the worsening of global economy
文摘Securities regulators formulated the risk-control mechanism prior to launch of stock index futures in China For three years Wang Liangguang, an experienced stock investor, waited patiently for the trading of stock index futures. And now, that day
