How to cite this paper
Chen, T., Li, W & Yu, S. (2021). On the price volatility of steel futures and its influencing factors in China.Accounting, 7(4), 771-780.
Refrences
Bae, K. H., & Karolyi, G. A. (1994). Good news, bad news and international spillovers of stock return volatility between Japan and the US. Pacific-Basin Finance Journal, 2(4), 405-438.
Bessembinder, H., Coughenour, J. F., Seguin, P. J., & Smoller, M. M. (1995). Mean reversion in equilibrium asset prices: Evidence from the futures term structure. The Journal of Finance, 50(1), 361-375.
Bigman, D., Goldfarb, D., & Schechtman, E. (1983). Futures market efficiency and the time content of the information sets. Journal of Futures Markets, 3(3), 321-334.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
Brooks, R. D., Faff, R. W., McKenzie, M. D., & Mitchell, H. (2000). A multi-country study of power ARCH models and national stock market returns. Journal of International money and Finance, 19(3), 377-397.
Caporin, M., Chang, C. L., & McAleer, M. (2019). Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. International Review of Economics & Finance, 59, 50-70.
Cheung, Y. W., & Lai, K. S. (1993). Do gold market returns have long memory?. Financial Review, 28(2), 181-202.
Cornell, B. (1981). The relationship between volume and price variability in futures markets. The Journal of Futures Markets (pre-1986), 1(3), 303.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 50(4), 987-1007.
Garcia, P., Leuthold, R. M., & Zapata, H. (1986). Lead-lag relationships between trading volume and price variability: New evidence. The Journal of Futures Markets (1986-1998), 6(1), 1.
Hagerman, R. L. (1978). More evidence on the distribution of security returns. The Journal of Finance, 33(4), 1213-1221.
Kang, S. H., Kang, S. M., & Yoon, S. M. (2009). Forecasting volatility of crude oil markets. Energy Economics, 31(1), 119-125.
Karpoff, J. M. (1987). The relation between price changes and trading volume: A survey. Journal of Financial and quantitative Analysis, 22(1), 109-126.
Kumar, S. (2019). The relationship between trading volume and exchange rate volatility: linear or nonlinear?. International Journal of Managerial Finance, 15(1), 19-38.
Liu, H. (2011). The influence of steel futures on spot price volatility in China. China Business and Market, 11(12), 53–56.
Mandelbrot, B. (1963). The variation of certain speculative prices. Journal of Business, 36(4), 394–419.
Ragunathan, V., & Peker, A. (1997). Price variability, trading volume and market depth: evidence from the Australian futures market. Applied Financial Economics, 7(5), 447-454.
Rosenberg, N., & Birdzell, L. (1986). How the West Grew Rich: The Economic Transformation of the Western World. New York, Basic Books.
Watkins, C., & McAleer M. (2005). Related commodity markets and conditional correlations. Mathematics and Computers in Simulation, 68(5-6), 567–579.
Bessembinder, H., Coughenour, J. F., Seguin, P. J., & Smoller, M. M. (1995). Mean reversion in equilibrium asset prices: Evidence from the futures term structure. The Journal of Finance, 50(1), 361-375.
Bigman, D., Goldfarb, D., & Schechtman, E. (1983). Futures market efficiency and the time content of the information sets. Journal of Futures Markets, 3(3), 321-334.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
Brooks, R. D., Faff, R. W., McKenzie, M. D., & Mitchell, H. (2000). A multi-country study of power ARCH models and national stock market returns. Journal of International money and Finance, 19(3), 377-397.
Caporin, M., Chang, C. L., & McAleer, M. (2019). Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. International Review of Economics & Finance, 59, 50-70.
Cheung, Y. W., & Lai, K. S. (1993). Do gold market returns have long memory?. Financial Review, 28(2), 181-202.
Cornell, B. (1981). The relationship between volume and price variability in futures markets. The Journal of Futures Markets (pre-1986), 1(3), 303.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 50(4), 987-1007.
Garcia, P., Leuthold, R. M., & Zapata, H. (1986). Lead-lag relationships between trading volume and price variability: New evidence. The Journal of Futures Markets (1986-1998), 6(1), 1.
Hagerman, R. L. (1978). More evidence on the distribution of security returns. The Journal of Finance, 33(4), 1213-1221.
Kang, S. H., Kang, S. M., & Yoon, S. M. (2009). Forecasting volatility of crude oil markets. Energy Economics, 31(1), 119-125.
Karpoff, J. M. (1987). The relation between price changes and trading volume: A survey. Journal of Financial and quantitative Analysis, 22(1), 109-126.
Kumar, S. (2019). The relationship between trading volume and exchange rate volatility: linear or nonlinear?. International Journal of Managerial Finance, 15(1), 19-38.
Liu, H. (2011). The influence of steel futures on spot price volatility in China. China Business and Market, 11(12), 53–56.
Mandelbrot, B. (1963). The variation of certain speculative prices. Journal of Business, 36(4), 394–419.
Ragunathan, V., & Peker, A. (1997). Price variability, trading volume and market depth: evidence from the Australian futures market. Applied Financial Economics, 7(5), 447-454.
Rosenberg, N., & Birdzell, L. (1986). How the West Grew Rich: The Economic Transformation of the Western World. New York, Basic Books.
Watkins, C., & McAleer M. (2005). Related commodity markets and conditional correlations. Mathematics and Computers in Simulation, 68(5-6), 567–579.