Uncovering the complex asymmetric relationship between trading activity and commodity futures price: Evidenced from QNARDL study

This study cracks the multidimensional asymmetric relationship between trading activity (volume and open interest) commodity futures prices to analyze short-term dynamics long-term cointegrating across different state of market considering both positive negative changes in using a novel Quantile Non-linear Autoregressive Distributed Lag (QNARDL) approach. First, price effect is found short- long-run volume interest. Second, due interest (volume) short-run (long-run) for copper (gold crude) futures. Third, distributional asymmetry above two effects on all three implying that with conditions such bearish, bullish, normal. Our findings will help portfolio managers effective investment diversification decision, traders better strategy, hedgers risk management regulators concerned exchange policy making varied conditions.