Index futures trading and stock price volatility: Evidence from Denmark and France

This study uses an EGARCH methodology to investigate the impact of index futures trading on the price volatility of two European stock markets. The results show that index futures trading has changed the distribution of stock returns in Denmark and France, however, it has not increased stock price volatility. There is evidence that futures trading has dampened stock price fluctuations in France. The results further show that stocks in Denmark and France exhibit strong volatility persistence and asymmetry, especially during the post-futures period.     

交易量适合作为股价波动信息的代理变量吗?——来自中国沪深股市的证据

本文利用中国沪深股市日交易数据,采用多元GARCH模型从信息传递的角度进行实证研究,结果表明:股价对交易量具有显著的波动溢出效应,但交易量对股价的波动溢出效应不明显。这种波动的单向溢出说明在应对信息的冲击上股价比交易量能更快地做出反应,其后才通过波动溢出在交易量上得到反映,股价波动对成交量波动具有先导作用。因此,从波动冲击传导和信息传递的角度看,单纯地将交易量视为股价变动信息的代理变量还缺乏稳健的统计证据。     

Day trading and stock price volatility

When an investor buys and sells the same stock on the same day, he is said to have made a day trade. Using the trading records of Finnish traders, this paper examines whether day trading is related to volatility of stock prices. I find a strong positive time-series relation between the number of day trades by individual investors and intraday volatility among heavily day traded stocks. This effect is robust after controlling for a previously documented volume–volatility relation. The result suggests that the joint hypothesis of price pressure and volatility induced day trading dominates the liquidity effects of day trading.     

Institutional investors' attention to environmental information,trading strategies,and market impacts: Evidence from China

Using a large proprietary database of intraday high‐frequency trading, we investigate the trading strategies of institutional investors in dealing with the negative environmental event disclosure of listed companies and their impact on markets, aiming to reveal the mechanism of the lack of “green efficiency” in China's capital market from the perspective of institutional investors. The results show that institutional investors react to negative environmental events prior to the announcements, indicating premature information leakage in the market; in addition, their trading behaviors mitigate the immediate effect of negative environmental event announcements on stock price. After the event is disclosed, institutional investors engage in short‐term selling and long‐term buy and hold. This trading strategy undermines the irrational selling of individual investors in the event of disclosure, short‐term decline in stock price, and long‐term reversal of market overreaction. In a China context, institutional investors generally take environmental information into consideration. However, they fail to recognize the long‐term value effect of negative environmental events and instead cater to trading strategies towards market volatility.     

Interdependence between Eastern and Western European stock markets: Evidence from intraday data

We analyze comovements among three stock markets in Central and Eastern Europe and, in addition, interdependence which may exist between Western European (DAX, CAC, UKX) and Central and Eastern European (BUX, PX-50, WIG-20) stock markets. The novelty of our paper rests mainly on the use of 5-min tick intraday price data from mid-2003 to early 2005 for stock indices and on the wide range of econometric techniques employed. We find no robust cointegration relationship for any of the stock index pairs or for any of the extended specifications. There are signs of short-term spillover effects both in terms of stock returns and stock price volatility. Granger causality tests show the presence of bidirectional causality for returns as well as volatility series. The results based on a VAR framework indicate a more limited number of short-term relationships among the stock markets.     

Contrarian strategies and investor overreaction under price limits

This study investigates the effects of price limits on investment performance of contrarian trading strategies in Taiwan’s stock market over the period 1997 to 2006. All contrarian strategies in intraday limit-hit stocks lead to superior returns relative to the benchmark index return, and the findings support the overreaction effect. Also, there is evidence of delayed overreaction reflected by price continuations for the overnight period and price reversals for the subsequent trading day. Moreover, investment performance of contrarian strategies is related to firm characteristics where investors tend to overreact more in small-size, high-turnover, and non-high-tech stocks. Finally, price overreaction is strong for up-hit stocks in the aftermath of catastrophic events. If overreaction exists, price-limit regulation designed to cool off investors and reduce price volatility may not be effective.     

Economic indicators and stock market volatility in an emerging economy

By analyzing the daily realized volatility series calculated from intraday stock price observations, this study examines the direct causality between one-day-ahead aggregate stock market volatility and several economic and financial indicators in the Korean market, a leading emerging market. Using the predictive regression and superior predictive ability tests, we find that the model-free implied volatility index (VKOSPI) and stock market indicators both lead the daily market volatility. However, daily economic indicators provide no predictive information beyond that contained in historical volatility. Though in-sample causality does not guarantee a better out-of-sample forecasting performance, the VKOSPI and combinations of predictors exhibit significant predictive ability regardless of the time period. Our study verifies the information role of the VKOSPI as an indicator of daily market risk.     

沪深300股指期货在现货交易和非交易时段交易特征的比较研究

我国沪深300股指期货交易2010年4月16日正式推出,但沪深300股指期货市场与沪深300现货市场的交易时间存在显著的差异,即相对于股票现货市场,沪深300股指期货市场提前15分钟开盘,延迟15分钟收盘。运用日内分笔数据和分钟数据,对沪深300股指期货不同交易时段的交易特征进行比较。研究表明,不同交易时段知情交易者市场参与度存在明显差异,提前交易时段知情交易的概率最高,现货交易时段次之,延迟交易时段最低;沪深300股指期货在开盘时段的交易提供了较大的价格发现,特别是开盘的第一笔交易包含有大量的私有信息,价格贡献最大;提前交易时段私有信息的价格发现贡献度最高;尽管提前交易时段的交易提供了较大的价格发现,但定价效率较低。     

Dynamic time series momentum of cryptocurrencies

This paper examines the momentum effect for twenty cryptocurrencies compared to the US stock market. For this purpose, we implement a dynamic modeling approach to define and test momentum periods that follow a formation period for interday and various intraday price levels. We find evidence that large proportions of the asset classes’ formation periods are followed by momentum periods, strongly supporting the momentum effect. In particular cryptocurrencies have significantly larger and longer momentum periods in all frequencies which we attribute to the lower derivability of their intrinsic value leading to a higher degree of noise traders in the market. A momentum trading strategy based on the identical approach outperforms a buy-hold strategy for both asset classes, while only cryptocurrencies have higher risk-adjusted returns and lower downside risks than a passive investment. We also find critical price levels during structural elements of the momentum period where the volatility shortly but intensively increases and consequently initiates a price impulse in the direction of the momentum.     

中国股市日内流动性效应分析——基于高频数据的流动性度量、特征及其影响因素

本文归纳了流动性刻画维度和度量指标,选取不同规模和价位股票的高频数据作样本,吸收Amivest流动性比率计算原理,设定价格对交易量变动的敏感性为流动性度量指标,分析股票日内交易特征和流动性影响因素。结果发现：日内模式价格变动呈仰卧“F”形,交易量呈仰卧“E”形,而非传统的“L”或“U”型;日内交易模式、股票规模和股票价位均影响着股票流动性;日内模式异动时间内,股票流动性差;大规模股票流动性强;高价股流动性差。     

成交量、持仓量对我国大豆类期货价差波动影响的实证分析

采用GARCH(1,1)模型就成交量、持仓量对大豆类期货价差波动率的影响进行实证分析,结果显示：当期成交量、持仓量对大豆期货价差波动的整体影响是显著的;滞后成交量、持仓量对大豆期货价差波动的整体影响也是显著的;当成交量、持仓量同时进入条件方差方程时,它们对大豆类期货价差波动的影响整体上也是显著的。这一结论揭示了我国大豆期货市场信息传递过程,验证了我国大豆期货市场的信息非有效性,对期货市场投资者以及期货市场监管者具有一定的借鉴意义。     

An empirical analysis of the Carbon Financial Instrument

This study provides an empirical investigation of the price volatility—trading volume relationship for the Carbon Financial Instrument (CFI). A CFI is a financial contract that is traded on the Chicago Climate Exchange (CCX) and represents the right to emit 100 metric tons of CO₂ equivalent. CFI contracts differ from one another on the basis of their allocation year to CCX member firms, referred to as their respective Vintage year. We provide evidence indicating a positive contemporaneous relationship between price changes and trading volume for the different CFI Vintage contracts. Employing bivariate VAR models that adjust for trade duration, we find that CFI price volatility and trading volume are persistent across time. Furthermore, we provide evidence indicating that lagged volume increases price volatility, in addition to lagged price volatility increasing trading volume levels in the CCX market. Our results are in agreement with prior research documenting significant positive price volatility—volume relationships in traditional equity markets.     

Price discovery in stock index: an ARDL-ECM approach in Taiwan case

In this study, we examine the lead-lag effect between stock index futures and its spot markets in Taiwan by employing a newly developed econometrics method, ARDL-ECM approach. The advantage of applying such technique is to avoid earlier ambiguous causality testing procedure, and it can provide more clearly representation of a stable unidirectional price discovery process. By verifying intraday data, we find that the futures prices lead spot markets for about 30 min during the year 2004. Moreover, during the presidential election period which caused political turbulent in Taiwan, the function of future market supposed as the dominated role of price discovery becomes futility. Such findings are consistent with the ‘surprising election outcomes’ phenomenon.     

President’s Tweets,US-China economic conflict and stock market Volatility: Evidence from China and G5 countries

This study provides empirical evidence that the tweets from US President Donald J. Trump influence the trading decisions of investors worldwide. We examine the effects of Trump’s tweets related to China on stock market volatility in China and the G5 countries. Our results show that Trump’s original tweets related to the US-China economic conflict expand volatility in stock markets worldwide, and the US-China trade friction intensifies this effect. Furthermore, Trump’s tweets with different sentiments have different impacts on the returns of global stock markets. Our findings confirm that international investors may make their investment decisions based on information conveyed in these tweets.     

Individual investors surpass their reputation: Trading behaviour on the Polish futures market

This paper examines individual investors’ trading behaviour by testing the presence of Monday and January anomalies on the Polish futures market, where individuals are the predominant trader type. Both anomalies are well established in the literature, and they are at least partially attributed to individual investors’ trading activities. We conduct an intraday analysis of trading volume, open interest, returns, and return volatility on the futures market in Poland and find the contribution of individuals to market anomalies to be grossly overstated. Hence, individual investors’ trading on the Polish futures market surpasses the prediction by the majority of investigations for mature stock markets.     

Open interest,volume, and volatility: evidence from Taiwan futures markets

This paper examines the relationships amongst volatility, total trading volume (TVOL) and total open interest (TOI) for three Taiwan stock index futures markets as well as the role of the latter two variables in the dynamics of GARCH modeling and forecasting. From both ex-post and ex-ante perspectives, we study this issue by using the VAR model and augmented GARCH-type models, respectively. For the GARCH-type models, we employ both symmetric and asymmetric models augmented with lagged logs in TOI and/or TVOL. We find that whether addition of these two variables helps the basic GARCH models predict future volatility depends upon the sample period examined for all three sets of futures. Nonetheless, the best three models for out-of-sample volatility forecasting in the MSE sense are generally the augmented models for all sub-intervals and all three futures contracts.     

Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data

This study examines whether the expiration-day effects of stock options traded in Australian Stock Exchange on return, volatility, trading volume, and temporary price changes of individual stocks vary with the availability and the settlement method of individual stock futures contracts. Using transaction data of the stocks that have both options and futures contacts from 1993 to 1997, we find that options expiration has significant effects on return and volatility of the underlying stocks in absence of individual stock futures. After introduction of a cash-settled stock futures contract, the effects decrease notably. However, the switch of a futures contract from cash settlement to physical delivery promotes the expiration effects on return and volatility and boosts temporary price changes on expiration days. Finally, options expiration has little effect on trading volume. Trading activity tends to behave normally regardless whether stock futures contracts are available or not.     

Economic uncertainty and national bitcoin trading activity

This study analyzes the dynamics between bitcoin trading, price activities, and economic surprise shocks from a broad and novel perspective on a national level. We start by estimating the response of bitcoin trading in terms of volume and volatility to economic surprises. Following this, we extend our framework by applying a Generalized AutoRegressive Conditional Heteroskedasticity model to get an indication of the volatility reaction of national bitcoin activities to economic surprise shocks. Our results show that local and global shocks affect local bitcoin activities and trading volatilities, confirming that economic events affect bitcoin markets. We argue that increased trading activity, coupled with a price reaction, indicates that bitcoin might be considered a hedge or safe haven asset against economic uncertainty. We find evidence that bitcoin is treated as a speculative asset against negative economic policy uncertainty shocks in Canada pre-Covid-19. These results change during the Covid-19 pandemic, leading to a significant structural break. Here, we find indications that bitcoin might be treated as a safe-haven asset in New Zealand and Australia. This shows that bitcoin behaves differently depending on the studied country, underlining the importance of country-level studies. It also shows that bitcoin is a new asset that is evolving rapidly and that the period in which it is studied is important.     

Asymmetric information and inside management trading in the Chinese market

Insider trading incentives have been widely examined in stock markets, but mainly in developed countries. Given the fact that the volatility of stock exchange markets in emerging economies is typically even higher, there is a need for research to explore the extent to which information asymmetry plays a role in management trading incentives in emerging economies. To address this research need, this study examines management trading incentives in relation to investment efficiency in Chinese listed firms on the main board and on the small- to medium-enterprises (SME) board in the period 2006 to 2017. We find that executives buy shares when firms’ investments are more efficient. The frequency of management buying also increases with investment efficiency. However, managers do not sell their shares according to firms’ investment efficiency. Moreover, executives of firms listed on the main board trade more on the asymmetric information of investment efficiency than those on the SME board.     

Dynamic and asymmetric effects between carbon emission trading,financial uncertainties,and Chinese industry stocks: Evidence from quantile-on-quantile and causality-in-quantiles analysis

This paper investigates the dynamic and asymmetric effects between carbon emission trading (CET), financial uncertainties, and Chinese stocks in different industries over the period from 19th December 2013 to 21st March 2022. We utilized a novel quantile framework including rolling window quantile regression method, quantile-on-quantile method, and causality-in-quantiles method to implement this research more comprehensively and accurately. Our contributions and findings, empirical in nature, are as follows: (i) In the early establishing stage of the carbon market, with a bullish market situation, carbon emission trading has a negative impact on most industry stocks. In the developing and improving stage of the carbon market, different industries have different impact situations. (ii) We find that the effects of financial uncertainty on stocks are stronger than CET on stocks. We also find that the dependence structures between CET, financial uncertainty, and industry stocks are asymmetric in most industries, and there are many mutation structures with significant risks in extreme situations. (iii) Carbon emissions trading, crude oil volatility, and US stock volatility all have strong causal relationships with Chinese industry stocks. (iv) We also provide policy suggestions to relevant countries to balance carbon market and stock markets and avoid risks from financial uncertainty in different industries.