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dc.contributor.authorNekhili, R.
dc.contributor.authorThorpe, Michael
dc.date.accessioned2017-01-30T12:57:28Z
dc.date.available2017-01-30T12:57:28Z
dc.date.created2012-03-08T20:00:44Z
dc.date.issued2011
dc.identifier.citationNekhili, Ramzi and Thorpe, Michael. 2011. Volatility dynamics in Dubai gold futures market. International Research Journal of Applied Finance 2 (11): pp. 1303-1313.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/27169
dc.description.abstract

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.

dc.publisherKaizen Publishing
dc.subjectMargin trading
dc.subjectDubai gold futures
dc.subjectVolatility
dc.titleVolatility dynamics in Dubai gold futures market
dc.typeJournal Article
dcterms.source.volume2
dcterms.source.number11
dcterms.source.startPage1303
dcterms.source.endPage1313
dcterms.source.issn2229-6891
dcterms.source.titleInternational Research Journal of Applied Finance
curtin.departmentSchool of Economics and Finance
curtin.accessStatusOpen access


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