In this study, we examined the relations between trading volume, bid–ask spread, and price volatility on four financial and metal futures. Hausman’s (1978) tests of specification confirmed that trading volume, bid–ask spread, and price volatility are jointly determined. We estimated the...

The theory of storage states that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases. Previous literature has tested this hypothesis using the so‐called “direct test” approach, which employs a direct measurement of inventory levels, or the...

The purpose of this article is to characterize linear and nonlinear serial dependence in daily futures price changes. The daily prices of four futures are included in this study: (i) S&P 500; (ii) Japanese yen; (iii) Deutsche mark; and (iv) Eurodollar. Our major empirical findings are: (i) Based on...

On May 1, 2000, the Taiwan government reduced the tax levied on futures transactions on the Taiwan Futures Exchange from 5 to 2.5 basis points. This event provides a unique opportunity to test empirically the impact of a tax rate reduction on trading volume, bid‐ask spreads, and price...

In this article the intraday price discovery process between regular index futures (floor trading) and E‐mini index futures (electronic trading) in the S&P 500 and Nasdaq 100 index futures markets is examined, using intraday data from the introduction of the E‐mini index futures to 2001....