The price discovery of day trading activities in futures market

被引：4
|
作者：
Chen, Ming-Hsien [1 ]
Tai, Vivian W. [2 ]
机构：
[1] Natl Kaohsiung First Univ Sci & Technol, Dept Finance, Kaohsiung 811, Taiwan
[2] Natl Chi Nan Univ, Dept Banking & Finance, Puli 545, Nantou, Taiwan
来源：
REVIEW OF DERIVATIVES RESEARCH | 2014年 / 17卷 / 02期
关键词：
Day trading volume; Price discovery; Unexpected shocks; Stock index futures; SEQUENTIAL INFORMATION ARRIVAL; STOCK INDEX FUTURES; CONDITIONAL HETEROSKEDASTICITY; TRANSACTION VOLUMES; VOLATILITY; RETURNS; MODEL; DEPENDENCE; LIQUIDITY; VARIANCE;
D O I：
10.1007/s11147-014-9096-x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Access to information is necessary for market transparency. However, contrary to trading volume and open interest, information related to day trading activities is rarely available. By incorporating unexplored day trading volume in the literature, this paper demonstrates that both the expected open interest and expected day trading volume are consistently and positively correlated with returns, but that one-lagged day trading volume is negatively correlated with futures returns. Meanwhile, both expected and unexpected day trading volume are negatively correlated with volatility, suggesting that arbitrage activities related to unexpected day trading volume may accelerate the movement of futures prices to a new equilibrium. Moreover, open interest provides liquidity but increases volatility. Finally, we strongly suggest that day trading transaction information be released by futures exchanges to achieve greater transparency.
引用
收藏
页码：217 / 239
页数：23
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