Table 9 Interaction between volatility, trading volume, and open interest (Dalian 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 | |
|---|---|---|---|---|---|---|---|---|
RBD palm olein | −0.0120* (−1.706) | 0.0033*** (5.839) | −0.0309** (−2.417) | 0.1051*** (5.343) | 0.0450*** (2.618) | −0.1057*** (−5.387) | 8 | 0.1955 |
Metallurgical coke | 0.0094 (0.596) | 0.0014*** (2.664) | 0.0584*** (8.063) | 0.0173* (1.751) | −0.0642*** (−3.447) | −0.0182* (−1.861) | 4 | 0.2190 |
No. 1 soybeans | 0.0028 (0.140) | 0.0023*** (6.396) | 0.0375*** (4.354) | 0.0584*** (3.783) | −0.0388* (−1.658) | −0.0589*** (−3.846) | 10 | 0.2134 |
Soybean meal | 0.0150 (0.463) | 0.0030*** (6.816) | 0.0184 (1.396) | 0.0675*** (3.315) | −0.0309 (−0.947) | −0.0683*** (−3.371) | 8 | 0.1288 |
Crude soybean oil | 0.0584 (1.362) | 0.0031*** (5.827) | −0.0007 (−0.044) | 0.0646*** (3.215) | −0.0562 (−1.218) | −0.0650*** (−3.241) | 6 | 0.1927 |
Coking coal | −0.0410* (−1.863) | 0.0014* (1.904) | 0.0924*** (7.769) | −0.0183 (−1.026) | −0.0464* (−1.799) | 0.0174 (0.977) | 1 | 0.2447 |
Iron ore | 0.0717 (1.497) | 0.0002 (0.200) | 0.1065*** (7.661) | 0.0395 (1.231) | −0.1693*** (−3.278) | −0.0372 (−1.169) | 2 | 0.1929 |