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《Journal of Management Sciences in China》 2006-02
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Volatility,trading volume,market depth: Evidence from copper futures in Shanghai futures exchange

XU Jian-gang,TANG Guo-xing School of Management,Fudan University,Shanghai 200433,China  
This paper studies the behavior of copper future return volatility and its relationship with trading volume and market depth under different market conditions.Test results show that volatility was positively related to trading volume,but negatively to open interest.In a market characterized by low volume, open interest lowered volatility.The higher the open interest was,the lower the volatility was.Trading and non-trading hours had negative impact on volatility significantly.Low depth added to more market friction and increased volatility during heavy trading.Greater volatility for non-trading returns than trading returns in markets with deep depth and heavy trading may reveal market's use more offshore information than domestic information in the pricing mechanism.
【CateGory Index】: F224
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