Table 10 Interaction between volatility, trading volume, and open interest (Zhengzhou Commodity Exchange)
From: The effect of nighttime trading of futures markets on information flows: evidence from China
Constant (t-stat) | MON (t-stat) | DVOM (t-stat) | NT × DVOM (t-stat) | DOI (t-stat) | NT × DOI (t-stat) | Lags | Adjusted R 2 | |
|---|---|---|---|---|---|---|---|---|
White sugar | 0.0431 (1.203) | 0.0015*** (3.332) | 0.0618*** (3.694) | 0.0391 (1.547) | −0.1020*** (−2.741) | −0.0394 (−1.560) | 6 | 0.1627 |
PTA | 0.0198 (0.873) | 0.0028*** (5.024) | 0.0098 (0.459) | 0.1113** (2.472) | −0.0265 (−0.771) | −0.1109** (−2.468) | 5 | 0.1244 |
No. 1 cotton | 0.0057 (0.383) | 0.0013*** (4.212) | 0.0387*** (8.726) | 0.0266*** (2.901) | −0.0433*** (−2.737) | −0.0269*** (−2.954) | 7 | 0.2946 |
Rapeseed meal | 0.0587** (1.988) | 0.0017** (2.346) | 0.1005*** (7.459) | 1.46E-05 (0.001) | −0.1531*** (−4.473) | 8.65E-06 (0.000) | 0 | 0.1203 |
Methanol | −0.0160 (−0.633) | 0.0014** (2.256) | 0.0526*** (7.443) | 0.1017*** (3.867) | −0.0318 (−1.122) | −0.0989*** (−3.763) | 2 | 0.2594 |
Rapeseed oil | 0.0399 (1.621) | 0.0023*** (5.134) | 0.0596*** (11.272) | 0.0115 (0.545) | −0.0978*** (−3.677) | −0.0116 (−0.555) | 5 | 0.2479 |
Flat glass | −0.0400* (−1.868) | 0.0009 (1.595) | 0.1090*** (12.323) | 0.0221 (1.329) | −0.0634** (−2.471) | −0.0220 (−1.322) | 2 | 0.2897 |
Thermal coal | 0.0074 (0.260) | 0.0005 (0.690) | 0.0375*** (4.946) | 0.0096 (0.845) | −0.0415 (−1.352) | −0.0097 (−0.875) | 0 | 0.2244 |