Baidu News and the return volatility of Chinese commodity futures: evidence for the sequential information arrival hypothesis
Abstract This study uses Baidu News data and introduces a novel proxy for the rate of information flow to examine its relationship with return volatility in Chinese commodity futures and to test two competing hypotheses. We examine the contemporaneous relationships using correlation coefficient anal...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2025-02-01
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| Series: | Financial Innovation |
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| Online Access: | https://doi.org/10.1186/s40854-025-00753-4 |
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| author | Ruwei Zhao Xiong Xiong Junjun Ma Yuzhao Zhang Yongjie Zhang |
| author_facet | Ruwei Zhao Xiong Xiong Junjun Ma Yuzhao Zhang Yongjie Zhang |
| author_sort | Ruwei Zhao |
| collection | DOAJ |
| description | Abstract This study uses Baidu News data and introduces a novel proxy for the rate of information flow to examine its relationship with return volatility in Chinese commodity futures and to test two competing hypotheses. We examine the contemporaneous relationships using correlation coefficient analysis, and find apparent differences between the information flow-return volatility relationship and the information flow-trading volume relationship. The empirical evidence contradicts the mixture of distribution hypothesis (MDH) and suggests that the rate of information flow distinctly affects trading volume and volatility. We conducted linear and nonlinear Granger causality tests to explore the sequential information arrival hypothesis (SIAH). The empirical results prove that a lead-lag linear and nonlinear causality exists between the information flow and return volatility of commodity futures, which is consistent with SIAH. In other words, a partial equilibrium exists before reaching the ultimate equilibrium when the new information arrives in the market. Finally, these findings are robust to alternative measurement of return volatility and subperiod analysis. Our findings reject the MDH and support the SIAH in the context of Chinese commodity futures. |
| format | Article |
| id | doaj-art-a4bc87e92018459ab39797914d02f6ec |
| institution | DOAJ |
| issn | 2199-4730 |
| language | English |
| publishDate | 2025-02-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj-art-a4bc87e92018459ab39797914d02f6ec2025-08-20T02:48:30ZengSpringerOpenFinancial Innovation2199-47302025-02-0111112410.1186/s40854-025-00753-4Baidu News and the return volatility of Chinese commodity futures: evidence for the sequential information arrival hypothesisRuwei Zhao0Xiong Xiong1Junjun Ma2Yuzhao Zhang3Yongjie Zhang4Business School, University of JinanCollege of Management and Economics, Tianjin UniversityCollege of Economics and Management, Beijing University of TechnologySchool of Finance, Nanjing University of Finance and EconomicsCollege of Management and Economics, Tianjin UniversityAbstract This study uses Baidu News data and introduces a novel proxy for the rate of information flow to examine its relationship with return volatility in Chinese commodity futures and to test two competing hypotheses. We examine the contemporaneous relationships using correlation coefficient analysis, and find apparent differences between the information flow-return volatility relationship and the information flow-trading volume relationship. The empirical evidence contradicts the mixture of distribution hypothesis (MDH) and suggests that the rate of information flow distinctly affects trading volume and volatility. We conducted linear and nonlinear Granger causality tests to explore the sequential information arrival hypothesis (SIAH). The empirical results prove that a lead-lag linear and nonlinear causality exists between the information flow and return volatility of commodity futures, which is consistent with SIAH. In other words, a partial equilibrium exists before reaching the ultimate equilibrium when the new information arrives in the market. Finally, these findings are robust to alternative measurement of return volatility and subperiod analysis. Our findings reject the MDH and support the SIAH in the context of Chinese commodity futures.https://doi.org/10.1186/s40854-025-00753-4Baidu NewsChinese commodity futuresReturn volatilitySequential information arrival hypothesisMixture of distribution hypothesis |
| spellingShingle | Ruwei Zhao Xiong Xiong Junjun Ma Yuzhao Zhang Yongjie Zhang Baidu News and the return volatility of Chinese commodity futures: evidence for the sequential information arrival hypothesis Financial Innovation Baidu News Chinese commodity futures Return volatility Sequential information arrival hypothesis Mixture of distribution hypothesis |
| title | Baidu News and the return volatility of Chinese commodity futures: evidence for the sequential information arrival hypothesis |
| title_full | Baidu News and the return volatility of Chinese commodity futures: evidence for the sequential information arrival hypothesis |
| title_fullStr | Baidu News and the return volatility of Chinese commodity futures: evidence for the sequential information arrival hypothesis |
| title_full_unstemmed | Baidu News and the return volatility of Chinese commodity futures: evidence for the sequential information arrival hypothesis |
| title_short | Baidu News and the return volatility of Chinese commodity futures: evidence for the sequential information arrival hypothesis |
| title_sort | baidu news and the return volatility of chinese commodity futures evidence for the sequential information arrival hypothesis |
| topic | Baidu News Chinese commodity futures Return volatility Sequential information arrival hypothesis Mixture of distribution hypothesis |
| url | https://doi.org/10.1186/s40854-025-00753-4 |
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