ratios from daily trading volume and open interest. The dynamic relationship between volatility and trading activity is … decomposition and impulse response functions. The first ratio, of volume to open interest, is used to capture speculative market … activity; and the second, a ratio of the change in open interest to volume, is used to reflect the activity of hedgers. The …

ratios from daily trading volume and open interest. The dynamic relationship between volatility and trading activity is … decomposition and impulse response functions. The first ratio, of volume to open interest, is used to capture speculative market … activity; and the second, a ratio of the change in open interest to volume, is used to reflect the activity of hedgers. The …

activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH … model is applied by adding the expected and unexpected elements of trading activities (trading volume and open interest) as … expected and unexpected open interest mitigate the volatility. Therefore, both trading volume and open interest should be …

activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH … model is applied by adding the expected and unexpected elements of trading activities (trading volume and open interest) as … expected and unexpected open interest mitigate the volatility. Therefore, both trading volume and open interest should be …

open interest for Nifty Index futures traded on the National Stock Exchange of India, and the extent and direction of these … according to this study establishes that volume has a stronger impact on volatility compared to open interest. Furthermore, the … impulse originating from volatility of volume and open interest is low. …

open interest for Nifty Index futures traded on the National Stock Exchange of India, and the extent and direction of these … according to this study establishes that volume has a stronger impact on volatility compared to open interest. Furthermore, the … impulse originating from volatility of volume and open interest is low. …

the large literature for equity markets and by allowing for heterogeneity of investors beliefs proxied by open interest … for time-variation when modeling the relationship between volatility, trading volume and open interest for agricultural … period's trading volume and open interest. However, the reversed relationship from lagged volatility to trading volume and …