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Open interest, volume, and volatility: evidence from Taiwan futures markets

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  • Stéphane Yen
  • Ming-Hsiang Chen

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  • Stéphane Yen & Ming-Hsiang Chen, 2010. "Open interest, volume, and volatility: evidence from Taiwan futures markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 113-141, April.
    • Handle: RePEc:spr:jecfin:v:34:y:2010:i:2:p:113-141
    DOI: 10.1007/s12197-009-9089-z
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    8. Mohammad Najand, 2002. "Forecasting Stock Index Futures Price Volatility: Linear vs. Nonlinear Models," The Financial Review, Eastern Finance Association, vol. 37(1), pages 93-104, February.
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    14. Stephen Ferris & Hun Park & Kwangwoo Park, 2002. "Volatility, open interest, volume, and arbitrage: evidence from the S&P 500 futures market," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 369-372.
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    19. Toshiaki Watanabe, 2001. "Price volatility, trading volume, and market depth: evidence from the Japanese stock index futures market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 651-658.
    20. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    21. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 109-126, March.
    22. Chen, Nai-Fu & Cuny, Charles J & Haugen, Robert A, 1995. "Stock Volatility and the Levels of the Basis and Open Interest in Future Contracts," Journal of Finance, American Finance Association, vol. 50(1), pages 281-300, March.
    23. Vanitha Ragunathan & Albert Peker, 1997. "Price variability, trading volume and market depth: evidence from the Australian futures market," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 447-454.
    24. Fung, Hung-Gay & Patterson, Gary A., 1999. "The dynamic relationship of volatility, volume, and market depth in currency futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 33-59, January.
    25. Chan, K C & Christie, William G & Schultz, Paul H, 1995. "Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities," The Journal of Business, University of Chicago Press, vol. 68(1), pages 35-60, January.
    26. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, vol. 62(1), pages 55-80, January.
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    More about this item

    Keywords

    Open Interest; Trading Volume; Volatility; VAR; GARCH; G15;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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