Futures Trading Activity and Commodity Cash Price Volatility
研究主要农产品的期货交易活动（成交量和持仓量）与现货价格波动之间的领先滞后关系，发现期货成交量意外增加单向导致现货价格波动加剧，对关注期货市场影响现货价格的学者有参考价值。
Abstract: This paper examines the lead‐lag relationship between futures trading activity (volume and open interest) and cash price volatility for major agricultural commodities. Granger causality tests and generalized forecast error variance decompositions show that an unexpected increase in futures trading volume unidirectionally causes an increase in cash price volatility for most commodities. Likewise, there is a weak causal feedback between open interest and cash price volatility. These findings are generally consistent with the destabilizing effect of futures trading on agricultural commodity markets.