Interday variations in volume, variance and participation of large speculators

Article Abstract:

A study of big speculators' interday trading patterns in five futures contract markets' most active months found the traditional inverted U-shaped and U-shaped patterns across weekdays for the market's aggregate volume and volatility. The futures markets examined were soybeans, gold the Standard and Poor's 500 stock index, corn and Treasury Bonds. The separation of big spectator volume from volume associated with other traders also strengthens the association between volatility and volume. Big spectator volume was also found to be greater every Mondays compared to other weekdays in the five futures markets studied.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code:

Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets

Article Abstract:

The volatility of Nikkei stocks spot portfolio increases while cross-sectional dispersion decreases compared to the average rate of volatility of Nikkei futures traded on the Osaka Securities Exchange. Non-Nikkei stocks do not show any changes when traded on either stock exchanges. Volatility changes by futures trading are comparatively smaller than volatility shifts caused by broad economic factors.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code:

An examination of herd behavior in equity markets: An international perspective

Article Abstract:

Herd behavior in market participants within different international markets is examined.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code: