Duration, trading volume and the price impact oftrades in an emerging futures market

This paper examines the price impact of trading intensity on an emerging futures market. Utilizing anovel volume-augmented duration model of price discovery, the intensity effect is decomposed intoliquidity and information components for the MexDer 28-day interest rate futures contract. We findthat the duration between transactions exerts a positive influence on price changes. Increases inorder flow and trade volume exert a positive and negative influence on price changes, respectively....

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Year of publication:	2007-10-01
Authors:	Bowe, Michael ; Hyde, Stuart ; McFarlane, Lavern
Institutions:	Manchester Business School
Subject:	Termingeschäft \| Liquidität \| Markteffizienz \| Autoregressives Modell \| Financial Futures

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Extent:	203776 bytes 37 p. application/pdf
Series:	Manchester Business School - Research - Working Papers No. 519(2007)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C32 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; Financial theory ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005870368