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Volatility and trading activity in Short Sterling futures

机译：英镑空头期货的波动性和交易活动

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摘要

The objective of the present study is to examine the interplay between information, trading volume and volatility in Short Sterling futures. More specifically, the paper concentrates on the role of liquidity variables as conduits of information arrival and whether such variables could be an exclusive platform of the market's information set. The analytical framework employed to examine the interaction among those factors is based on the conditional volatility family of techniques. The approach is well suited as it naturally leads to examine the interaction among volatility and sources of information. In an attempt to identify proxies of information and their role in determining volatility, four main conclusions have emerged. First, the empirical findings suggest that both volume and open interest exhibit a positive correlation with volatility. Second, based on the current methodology, one can observe the persistence and importance of GARCH effects after accounting for liquidity. Third, the liquidity variables remain significantly exogenous compared with other studies. Finally, although both liquidity variables are found significant, their role as vehicles of transmitting information is proved to be weak with respect to the information itself.
机译：本研究的目的是检验空头英镑期货的信息，交易量和波动性之间的相互作用。更具体地说，本文着眼于流动性变量作为信息到达渠道的作用，以及这些变量是否可以成为市场信息集的专有平台。用于检验这些因素之间相互作用的分析框架是基于条件波动性技术族。该方法非常适合，因为它自然可以检查波动性和信息来源之间的相互作用。为了确定信息代理及其在确定波动性中的作用，得出了四个主要结论。首先，经验结果表明，交易量和未平仓量均与波动性呈正相关。其次，根据当前的方法，可以在考虑流动性后观察GARCH效应的持久性和重要性。第三，与其他研究相比，流动性变量仍然是明显的外生变量。最后，尽管发现两个流动性变量都很重要，但事实证明，它们作为传递信息的工具在信息本身方面的作用很弱。

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  • 来源
    《Applied Economics》 |2006年第9期|p.997-1005|共9页
  • 作者

    Elena Kalotychou; Sotiris K. Staikouras;

  • 作者单位

    Risk Institute & Emerging Markets Group, Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ, UK;

  • 收录信息 美国《科学引文索引》(SCI);
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 FO;
  • 关键词

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