ABSTRACT
This chapter uses high-frequency data of actively traded commodities futures in the Chinese market to empirically study the patterns of intraday changes of yield and volume, and explains the reason of the formation of the pattern, from the theories of microstructure of markets. Moreover, the chapter analyzes the relationship between price and volume, build up a Vector Autoregressive model (VAR), and empirically study the factors that influence changes in price volatility and factors that affect volume volatility. The relationship between volume and yield is always important to analysis of microstructures of financial markets. About the relationship between price and volume, one theory suggested by Copeland is the Sequential Information Arrival Hypothesis. The chapter eliminates the intraday trends of yield, volume and opens interest, and then builds VAR Models. Through Granger causality tests, the chapter analyzes the models to conduct qualitative analysis of correlations among yield, volume and open interest.
