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The relationship between volume and price variability in futures markets

Citations

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Cited by:

  1. John A. Carlson & Carol L. Osler, 1996. "Rational speculators and exchange rate volatility," Staff Reports 13, Federal Reserve Bank of New York.
  2. Michael Smirlock & Laura Starks, 1985. "A Further Examination Of Stock Price Changes And Transaction Volume," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(3), pages 217-226, September.
  3. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2016. "Intraday volatility interaction between the crude oil and equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 1-13.
  4. Algieri, Bernardina & Leccadito, Arturo, 2019. "Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 40-54.
  5. Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2013. "Futures price volatility in commodities markets: The role of short term vs long term speculation," DEM Working Papers Series 042, University of Pavia, Department of Economics and Management.
  6. Kenneth Yung & Yen-Chih Liu, 2009. "Implications of futures trading volume: Hedgers versus speculators," Journal of Asset Management, Palgrave Macmillan, vol. 10(5), pages 318-337, December.
  7. Sarika Mahajan & Balwinder Singh, 2008. "An Empirical Analysis of Stock Price-Volume Relationship in Indian Stock Market," Vision, , vol. 12(3), pages 1-13, July.
  8. Sangram K. Jena, 2016. "Sequential Information Arrival Hypothesis: More Evidence from the Indian Derivatives Market," Vision, , vol. 20(2), pages 101-110, June.
  9. Carlson, John A. & Osler, C. L., 2000. "Rational speculators and exchange rate volatility1," European Economic Review, Elsevier, vol. 44(2), pages 231-253, February.
  10. Doojin RYU & Hyein SHIM, 2017. "Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 45-61, June.
  11. Go, You-How & Lau, Wee-Yeap, 2020. "The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market," Journal of Commodity Markets, Elsevier, vol. 17(C).
  12. Zhang, Wei & Bi, Zhengzheng & Shen, Dehua, 2017. "Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 345-355.
  13. Mark Grinblatt & Matti Keloharju, 2000. "What Makes Investors Trade?," Yale School of Management Working Papers ysm146, Yale School of Management, revised 01 Nov 2001.
  14. Chien-Hung Chen & Nicholas Lee & Fu-Min Chang & Li-Peng Lan, 2021. "Are global gold futures returns volatilities and trading activities threshold cointegrated?," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 13(5), pages 525-538, May.
  15. Daouda Lawa tan Toe & Salifou Ouedraogo, 2022. "Dynamic relationship between trading volume, returns and returns volatility: an empirical investigation on the main African’s stock markets," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 429-444, September.
  16. Serge Jeanneau & Marian Micu, 2003. "Volatility and derivatives turnover: a tenuous relationship," BIS Quarterly Review, Bank for International Settlements, March.
  17. Pennings, Joost M. E., 1998. "The Information Dissemination Process of Futures Exchange Innovations: A Note," Journal of Business Research, Elsevier, vol. 43(3), pages 141-145, November.
  18. Alizadeh, Amir H. & Tamvakis, Michael, 2016. "Market conditions, trader types and price–volume relation in energy futures markets," Energy Economics, Elsevier, vol. 56(C), pages 134-149.
  19. 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.
  20. Smimou, K., 2014. "Consumer attitudes, stock market liquidity, and the macro economy: A Canadian perspective," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 186-209.
  21. Beata Szetela & Grzegorz Mentel & Yuriy Bilan & Urszula Mentel, 2021. "The relationship between trend and volume on the bitcoin market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 25-42, March.
  22. Kate Phylaktis & Antonis Aristidou, 2013. "Margin Changes and Futures Trading Activity: a New Approach," European Financial Management, European Financial Management Association, vol. 19(1), pages 45-71, January.
  23. Smimou, K., 2017. "Does gold Liquidity learn from the greenback or the equity?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 461-479.
  24. David K. Ding & Wui Boon Lim, 2024. "Lessons from the Demise of the Brent Crude Oil Futures Contract on the Singapore Exchange," JRFM, MDPI, vol. 17(6), pages 1-22, June.
  25. Brida, Juan Gabriel & Matesanz, David & Seijas, Maria Nela, 2016. "Network analysis of returns and volume trading in stock markets: The Euro Stoxx case," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 751-764.
  26. Cao, Guangxi & Xu, Wei, 2016. "Multifractal features of EUA and CER futures markets by using multifractal detrended fluctuation analysis based on empirical model decomposition," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 212-222.
  27. Charutha, S. & Gopal Krishna, M. & Manimaran, P., 2020. "Multifractal analysis of Indian public sector enterprises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  28. Trin Sittisawad & Pariyada Sukcharoensin, 2018. "Success Factors of Financial Derivatives Markets in Asia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(2), pages 71-86, June.
  29. Marina Abdul Razak & Obiyathulla Ismath Bacha, 2009. "Pricing efficiency of the 3-month KLIBOR futures contracts: an empirical analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 445-462.
  30. Tribhuvan N. Puri & George C. Philippatos, 2008. "Asymmetric Volume‐Return Relation and Concentrated Trading in LIFFE Futures," European Financial Management, European Financial Management Association, vol. 14(3), pages 528-563, June.
  31. Rzayev, Khaladdin & Ibikunle, Gbenga, 2019. "A state-space modeling of the information content of trading volume," Journal of Financial Markets, Elsevier, vol. 46(C).
  32. Aliaga Lordemann, Javier & Mora-García, Claudio & Mulder, Nanno, 2021. "Speculation and price volatility in the coffee market," Documentos de Proyectos 46923, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
  33. Rodriguez, E. & Alvarez-Ramirez, J., 2021. "Time-varying cross-correlation between trading volume and returns in US stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
  34. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa B. & Stosic, Tatijana, 2019. "Multifractal behavior of price and volume changes in the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 54-61.
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