Determinants of gold futures trading volume: a study of Thailand futures exchange
by Woradee Jongadsayakul
Afro-Asian J. of Finance and Accounting (AAJFA), Vol. 12, No. 6, 2022

Abstract: This research shows a positive impact of one day lagged volume of 50 Baht gold futures on current volumes of gold futures. There is an evidence of bi-directional causality between 50 Baht and 10 Baht gold futures trading volumes. The 50 Baht and 10 Baht gold futures trading volumes are useful in forecasting gold online futures trading volume. The response of gold futures trading volume to its own shock and 50 Baht gold futures trading volume shock vanishes within 5 days. The variability of gold futures volume is caused not only by its own innovations but also by 50 Baht gold futures trading volume shock. Therefore, it is significant to promote trading activity in 50 Baht gold futures market. Moreover, special care should be taken when there is a negative exogeneous shock to 50 Baht gold futures trading volume due to its contribution to the variability in trading volume of each gold derivatives contract.

Online publication date: Thu, 22-Dec-2022

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