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Speculative ratios and returns volatility in the South African white maize futures market

Sayed, Ayesha; Auret, C. - In: Cogent economics & finance 11 (2023) 1, pp. 1-21

This paper examines the relationship between trading activity and returns volatility in white maize futures listed on … the South African Futures Exchange (SAFEX) and investigates the impact of speculative activity on volatility. Returns … volatility is estimated using a GARCH (1,1) model. Trading activity changes are observed by computing two negatively correlated …

Persistent link: https://www.econbiz.de/10014500465

A reverse index futures split effect on liquidity and market dynamics

Athanasios, Fassas; Nikolas, Hourvouliades - In: International journal of bonds and derivatives 3 (2017) 3, pp. 235-252

Persistent link: https://www.econbiz.de/10011875992

Securities transaction tax-case study of India

Malik, Neha - 2014

attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …

Persistent link: https://www.econbiz.de/10010354157

Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest

Magkonis, Georgios; Tsouknidis, Dimitris A. - In: International review of financial analysis 52 (2017), pp. 104-118

Persistent link: https://www.econbiz.de/10011868715

Volatility, trading volume and open interest in futures markets

Floros, Christos; Salvador, Enrique - In: International journal of managerial finance : IJMF 12 (2016) 4, pp. 629-653

Persistent link: https://www.econbiz.de/10011627130

The COVID-19 pandemic, volatility, and trading behavior in the bitcoin futures market

Park, Beum-jo - In: Research in international business and finance 59 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013410802

Which liquidity indicator is more informative to market volatility? : spectrum analysis of China's base metal futures market

Chen, Xiangyu; Tongurai, Jittima - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014485263

Marchés dérivés et trading de volatilité

Capelle-Blancard, Gunther - In: Revue économique : revue bimestrielle 54 (2003) 3, pp. 663-673

Persistent link: https://www.econbiz.de/10001765922

Trading volume in models of financial derivatives

Howison, Sam; Lamper, David - In: Applied mathematical finance 8 (2001) 2, pp. 119-135

Persistent link: https://www.econbiz.de/10001628629

Financial innovation and information: the role of derivatives when a market for information exists

Massa, Massimo - In: The review of financial studies 15 (2002) 3, pp. 927-957

Persistent link: https://www.econbiz.de/10001688879