The Impact of Trader Type on the Futures Volatility-Volume Relation
We examine the volatility-volume relation in futures markets using volume data categorized by type of trader. We find that the positive volatility-volume relation is driven by the general public, a group of traders who are distant from the trading floor and therefore without precise information on order flow. Clearing members and floor traders who observe order flow often decrease volatility. Our findings are consistent with Shalen's (1993) hypothesis that uninformed traders who cannot differentiate liquidity demand from fundamental value change increase volatility. Copyright The American Finance Association 1999.
Year of publication: |
1999
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Authors: | Daigler, Robert T. ; Wiley, Marilyn K. |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 54.1999, 6, p. 2297-2316
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Publisher: |
American Finance Association - AFA |
Saved in:
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