Volatility dynamics in Dubai gold futures market
This study explores the volatility dynamics of gold futures traded on the Dubai Gold and Commodities Exchange. We test the effect of margin trading reform implemented by the Emirates Securities and Commodities Authority on the dynamic relationship between the daily gold futures volatility and volume...
| Main Authors: | , |
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| Format: | Journal Article |
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Kaizen Publishing
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/27169 |
| _version_ | 1848752188446212096 |
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| author | Nekhili, R. Thorpe, Michael |
| author_facet | Nekhili, R. Thorpe, Michael |
| author_sort | Nekhili, R. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This study explores the volatility dynamics of gold futures traded on the Dubai Gold and Commodities Exchange. We test the effect of margin trading reform implemented by the Emirates Securities and Commodities Authority on the dynamic relationship between the daily gold futures volatility and volume, open interest, and futures returns. We find that volatility dynamics with respect to volume and return are consistent with other futures markets patterns but not with the open interest, especially after the reform. Moreover, the reform has decreased trading volume and open interest and increased gold futures volatility. |
| first_indexed | 2025-11-14T08:04:39Z |
| format | Journal Article |
| id | curtin-20.500.11937-27169 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:04:39Z |
| publishDate | 2011 |
| publisher | Kaizen Publishing |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-271692017-01-30T12:57:28Z Volatility dynamics in Dubai gold futures market Nekhili, R. Thorpe, Michael Margin trading Dubai gold futures Volatility This study explores the volatility dynamics of gold futures traded on the Dubai Gold and Commodities Exchange. We test the effect of margin trading reform implemented by the Emirates Securities and Commodities Authority on the dynamic relationship between the daily gold futures volatility and volume, open interest, and futures returns. We find that volatility dynamics with respect to volume and return are consistent with other futures markets patterns but not with the open interest, especially after the reform. Moreover, the reform has decreased trading volume and open interest and increased gold futures volatility. 2011 Journal Article http://hdl.handle.net/20.500.11937/27169 Kaizen Publishing fulltext |
| spellingShingle | Margin trading Dubai gold futures Volatility Nekhili, R. Thorpe, Michael Volatility dynamics in Dubai gold futures market |
| title | Volatility dynamics in Dubai gold futures market |
| title_full | Volatility dynamics in Dubai gold futures market |
| title_fullStr | Volatility dynamics in Dubai gold futures market |
| title_full_unstemmed | Volatility dynamics in Dubai gold futures market |
| title_short | Volatility dynamics in Dubai gold futures market |
| title_sort | volatility dynamics in dubai gold futures market |
| topic | Margin trading Dubai gold futures Volatility |
| url | http://hdl.handle.net/20.500.11937/27169 |