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首页> 外文期刊>Journal of Financial Economic Policy >Are global gold futures returns volatilities and trading activities threshold cointegrated?
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Are global gold futures returns volatilities and trading activities threshold cointegrated?

机译：全球金期货返回波动率和交易活动的门槛共同组成吗？

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Purpose - This study aims to examine whether global gold futures returns volatilities and trading activities are threshold cointegrated. Design/methodology/approach - This study considers 11 gold futures markets, including 3 developed futures markets and 8 developing futures markets. This study also analyzes futures trading activities for speculators and hedgers. This study uses a nonlinear threshold vector error correction model (TVECM) and a threshold Lagrange multiplier (LM) test proposed by Hansen and Seo (2002). Findings - The findings show that global gold futures return volatilities (FRV) and trading activities are not always threshold cointegrated. Most developed futures markets exhibit threshold cointegrated of gold FRV and trading activities for speculators and hedgers, whereas some developing futures markets exhibit threshold cointegrated. It suggests that speculators and hedgers trading activity conveys valuable information about changes in market volatility dynamics. On the other hand, responses to error-correction effect among gold FRV and trading activities for speculators and hedgers are dramatically different for developed and developing gold futures markets, respectively, particular in the unusual regime. Research limitations/implications - Research results show that threshold cointegration between global gold FRV and trading activities matters but not always. Thus, threshold relations have improved the authors' understanding of global gold futures price discovery process with a threshold. For research limitations, this study uses only near month futures contracts, as it contains more information but not using far month contracts. Practical implications - The findings may have important trading implications with additional insights in a(n) (un)usual regime further regulation may be detrimental to the price responsiveness in futures markets if increased price volatility and trading volume are attributed to liquid and efficient markets. Social implications - The findings may have important policy implications with additional insights. For example, in a(n) (un)usual regime greater regulatory restrictions may be warranted to decrease market inefficiencies if increased price fluctuations are caused by increased trading volume. Policymakers could enhance futures trading liquidity or restrict speculating positions. Originality/value - This study examines whether global gold futures returns volatilities and trading activities are threshold cointegrated by using a nonlinear TVECM. The authors detect that some global gold futures returns volatilities and trading activities are threshold cointegrated but some are not Hence, the findings determine whether the volatility-volume threshold relation holds across countries and investigate the determinants of cross-country differences in different traders.
机译：目的 - 本研究旨在审查全球金期货是否返回波动率和交易活动是重心的。设计/方法/方法 - 本研究考虑了11个黄金期货市场，其中包括3个开发的期货市场和8个开发期货市场。本研究还分析了投机者和仇外人的期货交易活动。本研究使用汉森和SEO（2002）提出的非线性阈值矢量误差校正模型（TVECM）和阈值拉格朗日乘数（LM）测试（2002）。调查结果表明，全球黄金期货返回波动率（FRV）和交易活动并不总是整体的阈值。大多数发达的期货市场展示了金FRV的门槛和投机者和套合员的交易活动，而一些开发期货市场的展示展览会合并。它表明投机者和套刑商交易活动能够传达有关市场波动动力学变化的宝贵信息。另一方面，对于开发和开发的黄金期货市场，特别是在不寻常的制度中，对投机者和禁区的黄金FRV和禁区交易活动之间的纠错效应以及纠正效应的响应显着差异。研究限制/影响 - 研究结果表明，全球黄金FRV与交易活动之间的门槛协整，但并非总是如此。因此，阈值关系改善了作者对全球金期货价格发现过程的理解，具有门槛。对于研究限制，本研究仅使用近月期货合约，因为它包含更多信息，而不是使用遥远的月份合同。实际意义 - 调查结果可能具有重要的交易影响，在（n）（联合国）的额外见解（UN）通常的制度进一步监管可能对期货市场的价格响应性可能是不利的，如果价格波动和交易量归因于液体和高效市场。社会影响 - 调查结果可能具有额外见解的重要政策影响。例如，在A（n）（联合国）中，如果增加的价格波动是由增加的交易量造成的价格波动，可能需要更高的监管限制以减少市场效率低下。政策制定者可以加强期货交易流动性或限制猜测职位。原创性/价值 - 本研究审查了全球金期货是否返回波动和交易活动是通过使用非线性TVECM协调的门槛。作者发现一些全球金期货归还波动和交易活动是门槛共同化，但其中一些是不明的，结果确定了挥发性阈值关系是否跨越各国，并调查不同交易员的越野差异的决定因素。

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