We examine the dynamic relation between returns, volume, and volatility of our futures markets. The results show that there exists a positive correlation between absolute returns and volume, but no correlation between returns and volume; Granger causality demonstrate that no causality relation exists between returns (or absolute returns) and volume, except copper's absolute returns causes volume; the conditional volatility of returns has no direct impact to futures returns; copper' and soybean' trading volume contributes strong explanatory power to volatility, but aluminous' trading volume has no direct impact to volatility.
展开▼
