Pii: S1059-0560(99)00044-1
نویسندگان
چکیده
This article presents some evidence for the presence of a causal relationship between price and volume in the crude oil futures market. The results of linear causality testing reveal the presence of causality running from volume to price but not vice versa. While the results of testing for nonlinear causality are inconsistent, most of the evidence shows that causality runs in both directions. In general, there is evidence for the sequential information arrival hypothesis and the noise trading model, but not for market efficiency. There is also some evidence for the presence of a maturity or a liquidity effect. Finally, there is some variation in the results, depending on the sample period. 2000 Elsevier Science Inc. All rights reserved. JEL classification: G14; C32
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