Linear and Non-linear Dependence Between Returns and Trading Volume in the Currency Futures Market (original) (raw)

Linear and Non-linear Dependence Between Returns and Trading Volume in the Currency Futures Market

1998

Abstract

Abstract: In this paper, the relationship between returns and trading volume is examined for four futures contracts for the period January 1, 1986 to April 30, 1997. Both linear and nonlinear dependence are examined. The study first employs linear causality tests and find that futures returns ...

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