-related factors incorporating price jumps, volatility jumps, and liquidity (along with the market) explains the cross sectional …

Distribution Hypothesis (MDH) that posits a joint dependence of return volatility and information. We use two different proxies for … the observed component of information flows, which allows to separate the effect of internet searches and information … published in newspapers. We analyse the effect of information from the internet using the Internet Search Volume from Google …

. The information effect is more dominant than the liquidity effect in these markets. In addition, returns have more … predictability power for the future movements of prices than order imbalances. Information seems to be transmitted more strongly from … stocks relative to other investor groups when they have new information. …

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover … be competitive. Volatility spill-over is confirmed for only three commodities and none of the indices. This implies the … Indian Commodity Market is yet to evolve an efficient risk transfer system for most commodities. The findings have …

Trading in commodity derivatives on exchange platforms is an instrument to achieve price discovery, better price risk … taxes is to contain price rise and volatility, to generate revenue, and to increase transparency, these arguments are …, volatility and transaction cost using a three-equation structural model for five top selected commodities namely Gold, Copper …

reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the … futures markets does not seem to be appropriate. Therefore, the aim of this study is to investigate the volatility spillover … results provide evidence in favor of an existing short-run volatility transmission process in agricultural futures markets. …

price volatility on commodity markets through improved control of speculation on futures and OTC markets. The article is … analysing the hypothesis that commodity funds are causing price volatility using first a direct relationship between the “Assets … their price risk on the OTC market as a complement to the futures markets. …

There is a long history of research into the impact of trading activity and information on financial market volatility … information flows on realized volatility. Additionally, the extent to which the volume of the information flow as well as the … sentiment inherent in the news affects volatility is also examined. Both the sentiment and rate of news flow are found to …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …