The impact of trader type on the futures volatility-volume relation

• 成果类型: Article; Proceedings Paper
• 署名作者: Daigler, RT; Wiley, MK
• 署名单位: State University System of Florida; Florida International University; State University System of Florida; Florida Atlantic University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00189
• 发表日期: 1999
• 页码: 2297-2316
• 关键词: DISTRIBUTIONS HYPOTHESIS; price variability; financial-markets; trading volume; INFORMATION; mixture; variance; noise; BEHAVIOR; MODEL

摘要

We examine the volatility-volume relation in futures markets using volume data categorized by type of trader. We find that the positive volatility-volume relation is driven by the general public, a group of traders who are distant from the trading floor and therefore without precise information on order flow. Clearing members and floor traders who observe order flow often decrease volatility. Our findings are consistent with Shalen's (1993) hypothesis that uninformed traders who cannot differentiate liquidity demand from fundamental value change increase volatility.