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Intraday Trading by floor traders and customers in futures markets: whose trades drive the volatility-volume relation?(Author abstract)
- Article from:
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Quarterly Journal of Business and Economics
- Article date:
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September 22, 2007
- Author:
- Chen, Haiwei
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Copyright informationCOPYRIGHT 2007 University of Nebraska-Lincoln. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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The study tests the effect of trader types on the intraday volatility-volume relation in four futures markets. Each trade is identified by the trader type on both sides of a transaction. The results from a VAR model show that the dynamic volatility-volume relation depends on the trader types involved. The positive contemporaneous volatility-volume relation is driven mainly by volume from trading between floor traders and customers. Contemporaneous volatility is either not related or negatively related to volume from trading between floor traders, which is consistent with conventional wisdom that floor traders are informed traders. On the other hand, volatility is significantly positively ...