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An Empirical Study of Hard Wheat Futures Price Volatility in China's Market

Huiwen Wang

Open publisher page 1 citations

Abstract

To deal with the difficulty of data processing of futures contract,a new method is raised in this paper.With this new method,this paper processes the trading data of hard wheat futures in China from Jan 2002 to Aug 2004 and analyzes the price volatility according to the different periods from expired date with TARCH module.The result shows difference of price volatility exists in different trading periods.The result provides further explanation that trading volume is the main factor of price volatility and its differences.

About this research paper

What this paper is about

To deal with the difficulty of data processing of futures contract,a new method is raised in this paper.With this new method,this paper processes the trading data of hard wheat futures in China from Jan 2002 to Aug 2004 and analyzes the price volatility according to the different periods from expired date with TARCH module.The result shows difference of price volatility exists in different trading periods.The result provides further explanation that trading volume is the main factor of price volatility and its differences.

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Available abstract

To deal with the difficulty of data processing of futures contract,a new method is raised in this paper.With this new method,this paper processes the trading data of hard wheat futures in China from Jan 2002 to Aug 2004 and analyzes the price volatility according to the different periods from expired date with TARCH module.The result shows difference of price volatility exists in different trading periods.The result provides further explanation that trading volume is the main factor of price volatility and its differences.

Key concepts: Futures contract, Volatility (finance), Futures market, Economics, Financial economics, China, Econometrics, Volatility swap

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