Does speculation Granger cause return in Chinese commodity markets? |
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| Authors: | Weigang Hu Yun Feng |
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| Institution: | 1. Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, China;2. School of Finance, Tongling University, Tongling, China |
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| Abstract: | We test the Granger causal relations between speculation and returns in Chinese commodity markets using quantile regression method. We find that speculation Granger causes returns in rebar, bean pulp and rapeseed oil markets. At lower quantiles, estimates are negative; but estimates are positive at upper quantiles. This indicates that larger speculation results in larger return volatility. |
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| Keywords: | Speculation return quantile regression sup-Wald test |
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