This study examines the price transmission between cotton prices in U.S., Indian, and Chinese futures markets. We focus … on studying the long-run price movements using cointegration and alternate causality tests. The empirical results … indicate the following: (a) the U.S. cotton futures market continues to be the most dominant market, and it leads price changes …

Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds … contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and … negative relation between volatility and depth and suggest that the depth in the limit order book decreases as volatility …

price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the … mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models …

leading indicator of the global wheat price in volatility transmissions. … play a leading role in U.S. local markets in return transmissions and that U.S. wheat price can be considered to be a …

Energy futures have become important as alternative investment assets to minimize the volatility of portfolio return …

activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH … volume and volatility, but that a positive relationship exists between unexpected volume and volatility. On the contrary, the … expected and unexpected open interest mitigate the volatility. Therefore, both trading volume and open interest should be …

. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total … transmitter to the wheat volatility, while being the spillover receiver from the oil and corn volatilities. The findings suggest …