Purpose

This study aims to examine whether global gold futures returns volatilities and trading activities are threshold cointegrated.

Design/methodology/approach

This study considers 11 gold futures markets, including 3 developed futures markets and 8 developing futures markets. This study also analyzes futures trading activities for speculators and hedgers. This study uses a nonlinear threshold vector error correction model (TVECM) and a threshold Lagrange multiplier (LM) test proposed by Hansen and Seo (2002).

Findings

The findings show that global gold futures return volatilities (FRV) and trading activities are not always threshold cointegrated. Most developed futures markets exhibit threshold cointegrated of gold FRV and trading activities for speculators and hedgers, whereas some developing futures markets exhibit threshold cointegrated. It suggests that speculators and hedgers trading activity conveys valuable information about changes in market volatility dynamics. On the other hand, responses to error-correction effect among gold FRV and trading activities for speculators and hedgers are dramatically different for developed and developing gold futures markets, respectively, particular in the unusual regime.

Research limitations/implications

Research results show that threshold cointegration between global gold FRV and trading activities matters but not always. Thus, threshold relations have improved the authors’ understanding of global gold futures price discovery process with a threshold. For research limitations, this study uses only near month futures contracts, as it contains more information but not using far month contracts.

Practical implications

The findings may have important trading implications with additional insights in a(n) (un)usual regime further regulation may be detrimental to the price responsiveness in futures markets if increased price volatility and trading volume are attributed to liquid and efficient markets.

Social implications

The findings may have important policy implications with additional insights. For example, in a(n) (un)usual regime greater regulatory restrictions may be warranted to decrease market inefficiencies if increased price fluctuations are caused by increased trading volume. Policymakers could enhance futures trading liquidity or restrict speculating positions.

Originality/value

This study examines whether global gold futures returns volatilities and trading activities are threshold cointegrated by using a nonlinear TVECM. The authors detect that some global gold futures returns volatilities and trading activities are threshold cointegrated but some are not. Hence, the findings determine whether the volatility–volume threshold relation holds across countries and investigate the determinants of cross-country differences in different traders.

中文翻译：

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全球黄金期货收益波动率和交易活动门槛是否协整？

目的

本研究旨在检验全球黄金期货收益波动率和交易活动是否存在阈值协整关系。

设计/方法/方法

本研究考虑了 11 个黄金期货市场，包括 3 个发达期货市场和 8 个发展中期货市场。本研究还分析了投机者和对冲者的期货交易活动。本研究使用了 Hansen 和 Seo (2002) 提出的非线性阈值向量误差校正模型 (TVECM) 和阈值拉格朗日乘数 (LM) 测试。

发现

研究结果表明，全球黄金期货收益波动率 (FRV) 和交易活动并不总是阈值协整。大多数发达的期货市场表现出黄金 FRV 与投机者和对冲者的交易活动的阈值协整，而一些发展中的期货市场则表现出阈值协整。它表明投机者和对冲者的交易活动传达了有关市场波动动态变化的宝贵信息。另一方面，发达和发展中黄金期货市场对黄金 FRV 之间的纠错效应以及投机者和对冲者的交易活动的反应分别显着不同，特别是在异常情况下。

研究限制/影响

研究结果表明，全球黄金 FRV 与交易活动之间的阈值协整很重要，但并非总是如此。因此，阈值关系提高了作者对具有阈值的全球黄金期货价格发现过程的理解。由于研究局限性，本研究仅使用近月期货合约，因为它包含更多信息，但未使用远月合约。

实际影响

如果价格波动性和交易量增加归因于流动性和有效市场，则进一步监管可能会损害期货市场的价格响应能力，这些发现可能会对交易产生重要影响。

社会影响

研究结果可能具有重要的政策含义，并具有其他见解。例如，在（n）（非）通常的制度中，如果交易量增加导致价格波动加剧，则可能需要更大的监管限制以减少市场低效率。政策制定者可以提高期货交易流动性或限制投机头寸。

原创性/价值

本研究通过使用非线性 TVECM 检验全球黄金期货回报波动率和交易活动是否是阈值协整的。作者发现，一些全球黄金期货回报波动性和交易活动是阈值协整的，但有些则不是。因此，研究结果确定了波动率 - 交易量阈值关系是否适用于各个国家，并调查了不同交易者的跨国差异的决定因素。