The price discovery of day trading activities in futures market

被引：0
作者：
Ming-Hsien Chen
Vivian W. Tai
机构：
[1] National Kaohsiung First University of Science and Technology,Department of Finance
[2] National Chi Nan University,Department of Banking and Finance
来源：
Review of Derivatives Research | 2014年 / 17卷
关键词：
Day trading volume; Price discovery; Unexpected shocks; Stock index futures; G12; G13; G14; C22;
D O I：
暂无
中图分类号：
学科分类号：
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：22
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