Abstract
This paper examines the impact of trading volume, open interest and price volatility on gold futures in Taiwan. We illustrate these ideas in simple empirical settings, implementing the relatively techniques from ARMA-EGARCH. Our results show that unexpected market impulse response affects the gold futures prices and the existence of leverage effects in gold futures market. The trading volume, open interest and price volatility all significantly affect the gold futures prices. We also followed Bessembinder and Seguin (1992) divided the trading volume and open interest into expected and unexpected component to examine the impact of unexpected trading information on gold futures market.
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