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 ที่มา:วิทยาสารเกษตรศาสตร์ สาขาสังคมศาสตร์หัวเรื่อง:ความสัมพันธ์ระหว่างปริมาณการซื้อขายและอัตราผลตอบแทนในตลาดสินค้าเกษตรล่วงหน้า |
 หัวเรื่อง:ไม่มีชื่อไทย (ชื่ออังกฤษ : Relationship Between Trading Volumes and Returns on Commodity Futures Exchanges) ผู้เขียน: ดร.ธนโชติ บุญวรโชติ, รองศาสตราจารย์ ,  มณฑินี ทองสิทธิ์ สื่อสิ่งพิมพ์:pdf AbstractThis study shows the relationship between trading volumes and returns in developed and emerging commodity futures exchanges. GARCH models were employed to show that trading volumes affect the volatility of returns. However, the trading volumes variables can reduce the impact of GARCH substantially. Moreover the relationship between the trading volumes and returns in developed commodity futures exchanges are positively contemporaneous. This evidence support the mixture of distribution model in developed commodity futures exchanges. However, the trading volume variables can better explain the returns equation in emerging commodity futures exchanges than in well-developed commodity exchanges. This implies that well developed commodity futures exchanges are more efficient at a weak-form level. The result of the arrival of news in the market can have an impact on the conditional volatility of some contracts in both exchanges. The existence of the leverage effect would imply that bad news (negative returns) has a greater impact on volatility than good news (positive returns) does for some contracts in both exchanges. |
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