Intraday relationship between price, trading volume and market depth in Malaysian futures market / Siti Hajar Aisyah Salleh

The purpose of this study is to investigate the relationship between price, trading volume and market depth of crude palm oil futures (CPO) and stock index futures in Malaysian Futures Market using a unique data set that is covered from December 15, 1995 to January 19, 2001. Specifically, the data s...

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Main Author:	Salleh, Siti Hajar Aisyah
Format:	Thesis
Language:	English
Published:	2001
Subjects:	Stockbrokers Security dealers Investment advisers Online stockbrokers
Online Access:	https://ir.uitm.edu.my/id/eprint/93799/1/93799.pdf
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id	my-uitm-ir.93799
record_format	uketd_dc
spelling	my-uitm-ir.937992024-04-16T01:47:57Z Intraday relationship between price, trading volume and market depth in Malaysian futures market / Siti Hajar Aisyah Salleh 2001 Salleh, Siti Hajar Aisyah Stockbrokers. Security dealers. Investment advisers. Online stockbrokers The purpose of this study is to investigate the relationship between price, trading volume and market depth of crude palm oil futures (CPO) and stock index futures in Malaysian Futures Market using a unique data set that is covered from December 15, 1995 to January 19, 2001. Specifically, the data set includes the daily average price, trading volume and open interest of CPO futures and stock index futures for KLCL This study is not only limited to the determination of the relationship between price volatility and volume but also considers the likely effect of open interest, a proxy for market depth, has on volatility. By using unit root test, it is found that after first differencing, the null hypothesis is rejected, conforming that the return series are integrated in order 1,1(1). In addition, because the pairs of all variables are cointegrated, there is causality in Granger sense between returns, volume and open interest. The results report bi-directional relationship for most of the cases. In contrast, the results of Error Correction Model (ECM) indicate that the sample regression lines do not fit the data and only nine pairs out of fourteen pairs of variables are found to be statistically significant. Moreover, using generalized autoregressive conditional heteroscedasticity (GARCH) model, this paper found out that there do exist the relatively significant relationship between most of those variables. 2001 Thesis https://ir.uitm.edu.my/id/eprint/93799/ https://ir.uitm.edu.my/id/eprint/93799/1/93799.pdf text en public degree Universiti Teknologi MARA, Terengganu Faculty Of Business Management Wan Mahmood, Wan Mansor
institution	Universiti Teknologi MARA
collection	UiTM Institutional Repository
language	English
advisor	Wan Mahmood, Wan Mansor
topic	Stockbrokers Security dealers Investment advisers Online stockbrokers
spellingShingle	Stockbrokers Security dealers Investment advisers Online stockbrokers Salleh, Siti Hajar Aisyah Intraday relationship between price, trading volume and market depth in Malaysian futures market / Siti Hajar Aisyah Salleh
description	The purpose of this study is to investigate the relationship between price, trading volume and market depth of crude palm oil futures (CPO) and stock index futures in Malaysian Futures Market using a unique data set that is covered from December 15, 1995 to January 19, 2001. Specifically, the data set includes the daily average price, trading volume and open interest of CPO futures and stock index futures for KLCL This study is not only limited to the determination of the relationship between price volatility and volume but also considers the likely effect of open interest, a proxy for market depth, has on volatility. By using unit root test, it is found that after first differencing, the null hypothesis is rejected, conforming that the return series are integrated in order 1,1(1). In addition, because the pairs of all variables are cointegrated, there is causality in Granger sense between returns, volume and open interest. The results report bi-directional relationship for most of the cases. In contrast, the results of Error Correction Model (ECM) indicate that the sample regression lines do not fit the data and only nine pairs out of fourteen pairs of variables are found to be statistically significant. Moreover, using generalized autoregressive conditional heteroscedasticity (GARCH) model, this paper found out that there do exist the relatively significant relationship between most of those variables.
format	Thesis
qualification_level	Bachelor degree
author	Salleh, Siti Hajar Aisyah
author_facet	Salleh, Siti Hajar Aisyah
author_sort	Salleh, Siti Hajar Aisyah
title	Intraday relationship between price, trading volume and market depth in Malaysian futures market / Siti Hajar Aisyah Salleh
title_short	Intraday relationship between price, trading volume and market depth in Malaysian futures market / Siti Hajar Aisyah Salleh
title_full	Intraday relationship between price, trading volume and market depth in Malaysian futures market / Siti Hajar Aisyah Salleh
title_fullStr	Intraday relationship between price, trading volume and market depth in Malaysian futures market / Siti Hajar Aisyah Salleh
title_full_unstemmed	Intraday relationship between price, trading volume and market depth in Malaysian futures market / Siti Hajar Aisyah Salleh
title_sort	intraday relationship between price, trading volume and market depth in malaysian futures market / siti hajar aisyah salleh
granting_institution	Universiti Teknologi MARA, Terengganu
granting_department	Faculty Of Business Management
publishDate	2001
url	https://ir.uitm.edu.my/id/eprint/93799/1/93799.pdf
_version_	1804889904005513216

Intraday relationship between price, trading volume and market depth in Malaysian futures market / Siti Hajar Aisyah Salleh

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