Table 8 Interaction between volatility, trading volume, and open interest (Shanghai Futures Exchange) \( \left|{\varepsilon}_{it}\right|={\beta}_{0i}+{\beta}_{1i}{\mathrm{MON}}_t+{\beta}_{2i}{\mathrm{DVOM}}_{it}+{\beta}_{3i}\left({\mathrm{NT}}_t\times {\mathrm{DVOM}}_{it}\right)+{\beta}_{4i}{\mathrm{DOI}}_{it}+{\beta}_{5i}\left({\mathrm{NT}}_t\times {\mathrm{DOI}}_{it}\right)+{\displaystyle \sum_{j=1}^{10}{\rho}_{ij}\left|{\varepsilon}_{i,t-j}\right|+{\epsilon}_{it}}\kern1.25em (3) \)
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) | Lagsa | Adjusted R 2 | |
|---|---|---|---|---|---|---|---|---|
Gold | −0.0120 (−0.620) | 0.0012** (2.325) | 0.0547*** (3.519) | −0.0212 (−1.054) | −0.0393 (−1.342) | 0.0198 (0.987) | 6 | 0.1626 |
Silver | −0.0245 (−0.583) | 0.0007 (0.752) | 0.0020 (0.031) | 0.0429 (0.660) | 0.0306 (0.447) | −0.0463 (−0.701) | 3 | 0.1242 |
Copper cathode | 0.0142 (0.379) | 0.0017*** (3.552) | −0.0175*** (−2.951) | 0.1572*** (7.226) | 0.0058 (0.153) | −0.1585*** (−7.322) | 9 | 0.2143 |
Aluminum | −0.0723*** (−4.716) | 0.0008*** (2.637) | 0.0303*** (4.655) | −0.0074 (−0.504) | 0.0433** (2.233) | 0.0069 (0.469) | 7 | 0.3028 |
Zinc | −0.0552* (−1.960) | 0.0021*** (3.931) | −0.0135 (−1.073) | 0.0393* (1.901) | 0.0714** (2.265) | −0.0408** (−1.970) | 8 | 0.1971 |
Lead | 0.0086* (1.770) | 0.0009** (2.038) | 0.0239*** (5.315) | 0.0129* (1.732) | −0.0305*** (−3.827) | −0.0132* (−1.812) | 3 | 0.2392 |
Steel rebar | −0.0020 (−0.102) | 0.0020*** (4.741) | 0.0975*** (11.059) | 0.0369 (1.417) | −0.0933*** (−4.313) | −0.0362 (−1.406) | 7 | 0.2666 |
Natural rubber | 0.0018 (0.096) | 0.0021*** (4.204) | −0.0331*** (−4.233) | 0.1952*** (3.364) | 0.0355* (1.852) | −0.1951*** (−3.362) | 7 | 0.1021 |