Futures Price and Trading Volume: Evidence From Malaysia
This paper examines the long- and short-run dynamic causality between the futures price and trading volume in the Malaysian equity market. The data of futures price, trading volume and spot price are in daily frequency, spanning from 2006 to 2009. By using ARDL cointegration and VECM causality tests...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
UUM Press
2020-02-01
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| Series: | Malaysian Management Journal |
| Online Access: | https://www.scienceopen.com/document?vid=5dce62ee-2f74-4aa9-b8a5-56431d570253 |
| _version_ | 1828005986853453824 |
|---|---|
| author | Bakri Abdul Karim Zulkefly Abdul Karim |
| author_facet | Bakri Abdul Karim Zulkefly Abdul Karim |
| author_sort | Bakri Abdul Karim |
| collection | DOAJ |
| description | This paper examines the long- and short-run dynamic causality between the futures price and trading volume in the Malaysian equity market. The data of futures price, trading volume and spot price are in daily frequency, spanning from 2006 to 2009. By using ARDL cointegration and VECM causality tests, the findings revealed the existence of long-run relationship between futures price, volume and spot prices. In addition, there exists a short-run bidirectional causality relationship running between futures return-trading volume and futures return-spot return. Thus, the stock index futures market in Malaysia is not informational efficient. |
| first_indexed | 2024-04-10T07:49:15Z |
| format | Article |
| id | doaj.art-da10ddb635144768b5c6ca361006a830 |
| institution | Directory Open Access Journal |
| issn | 0128-6226 2289-6651 |
| language | English |
| last_indexed | 2024-04-10T07:49:15Z |
| publishDate | 2020-02-01 |
| publisher | UUM Press |
| record_format | Article |
| series | Malaysian Management Journal |
| spelling | doaj.art-da10ddb635144768b5c6ca361006a8302023-02-23T10:21:34ZengUUM PressMalaysian Management Journal0128-62262289-66512020-02-0110.32890/mmj.15.2011.8973Futures Price and Trading Volume: Evidence From MalaysiaBakri Abdul KarimZulkefly Abdul KarimThis paper examines the long- and short-run dynamic causality between the futures price and trading volume in the Malaysian equity market. The data of futures price, trading volume and spot price are in daily frequency, spanning from 2006 to 2009. By using ARDL cointegration and VECM causality tests, the findings revealed the existence of long-run relationship between futures price, volume and spot prices. In addition, there exists a short-run bidirectional causality relationship running between futures return-trading volume and futures return-spot return. Thus, the stock index futures market in Malaysia is not informational efficient. https://www.scienceopen.com/document?vid=5dce62ee-2f74-4aa9-b8a5-56431d570253 |
| spellingShingle | Bakri Abdul Karim Zulkefly Abdul Karim Futures Price and Trading Volume: Evidence From Malaysia Malaysian Management Journal |
| title | Futures Price and Trading Volume: Evidence From Malaysia |
| title_full | Futures Price and Trading Volume: Evidence From Malaysia |
| title_fullStr | Futures Price and Trading Volume: Evidence From Malaysia |
| title_full_unstemmed | Futures Price and Trading Volume: Evidence From Malaysia |
| title_short | Futures Price and Trading Volume: Evidence From Malaysia |
| title_sort | futures price and trading volume evidence from malaysia |
| url | https://www.scienceopen.com/document?vid=5dce62ee-2f74-4aa9-b8a5-56431d570253 |
| work_keys_str_mv | AT bakriabdulkarim futurespriceandtradingvolumeevidencefrommalaysia AT zulkeflyabdulkarim futurespriceandtradingvolumeevidencefrommalaysia |