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http://bura.brunel.ac.uk/handle/2438/17768| Title: | TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP. EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. |
| Authors: | Kartsaklas, A |
| Keywords: | Financial crisis;futures markets;Institutional investors;Range based volatility;Trading volume |
| Issue Date: | 2017 |
| Publisher: | Brunel University London |
| Citation: | Bulletin of Economic Research |
| Abstract: | We investigate whether the trading activity generated by investors with different access to information and trading motives has positive or negative impact on index futures volatility. Surprises in non‐member institutional, individual and foreign investors' trading volume are positively associated with volatility in most of the cases. For member institutional investors, unexpected trading volume is positively related to volatility. Long‐run changes in the trading activity also affect volatility differently across trader types. Finally, allowing for time‐to‐maturity effects, surprises in open interest are associated with more volatility towards contract expiration, contrary to the negative effect we find during normal times. |
| URI: | http://bura.brunel.ac.uk/handle/2438/17768 |
| DOI: | http://dx.doi.org/10.1111/boer.12138 |
| ISSN: | 0307-3378 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | 175.44 kB | Adobe PDF | View/Open |
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