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 |
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Universiti Utara Malaysia Press
2011
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| Online Access: | https://repo.uum.edu.my/id/eprint/30527/1/MMJ%2015%2000%202011%2021-30.pdf |
| _version_ | 1803629934775631872 |
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| author | Abdul Karim, Bakri Abdul Karim, Zulkefly |
| author_facet | Abdul Karim, Bakri Abdul Karim, Zulkefly |
| author_sort | Abdul Karim, Bakri |
| collection | UUM |
| 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 | 2024-07-04T06:45:45Z |
| format | Article |
| id | uum-30527 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:45:45Z |
| publishDate | 2011 |
| publisher | Universiti Utara Malaysia Press |
| record_format | dspace |
| spelling | uum-305272024-03-13T08:25:08Z https://repo.uum.edu.my/id/eprint/30527/ Futures Price and Trading Volume: Evidence from Malaysia Abdul Karim, Bakri Abdul Karim, Zulkefly HG Finance 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. Universiti Utara Malaysia Press 2011 Article PeerReviewed application/pdf en cc4_by https://repo.uum.edu.my/id/eprint/30527/1/MMJ%2015%2000%202011%2021-30.pdf Abdul Karim, Bakri and Abdul Karim, Zulkefly (2011) Futures Price and Trading Volume: Evidence from Malaysia. Malaysian Management Journal (MMJ), 15. pp. 21-30. ISSN 0128-6226 10.32890/mmj 10.32890/mmj 10.32890/mmj |
| spellingShingle | HG Finance Abdul Karim, Bakri Abdul Karim, Zulkefly Futures Price and Trading Volume: Evidence from Malaysia |
| 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 |
| topic | HG Finance |
| url | https://repo.uum.edu.my/id/eprint/30527/1/MMJ%2015%2000%202011%2021-30.pdf |
| work_keys_str_mv | AT abdulkarimbakri futurespriceandtradingvolumeevidencefrommalaysia AT abdulkarimzulkefly futurespriceandtradingvolumeevidencefrommalaysia |