Interday variations in volume,variance and participation of large speculators |
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| Institution: | 1. Dept. of Psychology, University of Houston, Houston, TX, USA;2. Vavilov Institute of General Genetics, Russian Academy of Sciences, Moscow, Russia;3. Dept. of Psychology, Saint Petersburg State University, St. Petersburg, Russia;4. Dept. of Psychological and Brain Sciences, University of Delaware, Newark, DE, USA;5. Theodosius Dobzhansky Center for Genome Bioinformatics, Saint Petersburg State University, St. Petersburg, Russia;6. Private Psychological Practice, Ridgewood, NJ, USA;7. Child Study Center, Yale University, New Haven, CT, USA;8. Office of the Rector, Moscow State University of Psychology and Education, Moscow, Russia;1. Department of Neurobiology, School of Medicine, Kangwon National University, Chuncheon 24341, South Korea;2. Department of Biomedical Science and Research Institute for Bioscience and Biotechnology, Hallym University, Chuncheon 24252, South Korea;3. Department of Emergency Medicine and Institute of Medical Sciences, School of Medicine, Kangwon National University, Chuncheon 24341, South Korea;4. Department of Pediatrics, Chuncheon Sacred Heart Hospital, College of Medicine, Hallym University, Chunchen 24253, South Korea;5. Department of Molecular and Cellular Biochemistry, School of Medicine, Kangwon National University, Chuncheon 24341, South Korea;6. Department of Pharmacy, College of Pharmacy, Dankook University, Cheonan 31116, South Korea;1. Division of General Surgery, Department of Surgery, University of Utah, Salt Lake City, Utah;2. Division of Pediatric Surgery, Department of Surgery, University of Utah, Salt Lake City, Utah |
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| Abstract: | We use data uniquely available from the Commodity Futures Trading Commission (CFTC) to document the intraweek trading patterns of large speculators in five futures markets. These markets include futures traded against the Standard and Poor's 500 stock index, Treasury Bonds, gold, corn, and soybeans. We also examine the influence of large speculator trades on the patterns of volume and volatility for the contracts in our sample. Though we detect the familiar U-shaped and inverted U-shaped patterns across weekdays for volatility and aggregate volume, the association between volume and volatility becomes stronger when we separate large speculator volume from volume associated with other traders. The coefficient on large speculator volume is much larger than the coefficient on other volume in these regressions. Compared with total volume, large speculator volume is greater on Mondays than on the other days of the week in all five markets. |
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