Purpose: This paper aims to identify and quantify directional predictability between returns and volume in major cryptocurrencies markets. Design/methodology/approach: The empirical analysis relies on the cross-quantilogram approach that allows one to assess the temporal (lag-lead) association...

Purpose: This paper aims to investigate the contemporaneous link between price volatility and trading volume in the futures markets of energy. Design/methodology/approach: Non-parametric (local linear) regression models and formal statistical tests are used to assess monotonicity, linearity and...

Purpose: The relationship between returns and trading volume is central in financial economics because it has both a theoretical interest and important practical implications with regard to the structure of financial markets and the level of speculation activity. The aim of this study is to...

Purpose: The purpose of this study is to investigate empirically the pattern of co-movement between prices and implied volatility in the future markets for crude oil. Design/methodology/approach: The tool of non-parametric quantile regression is applied to daily price returns and implied...

Purpose: This paper aims to investigate empirically the linkages between stock and commodity futures markets. Design/methodology/approach: It involves the application of a flexible copula approach to weekly total returns from the S&P 500 index and from three commodity sub-indices (agriculture,...