Volume and Volatility in Foreign Currency Futures Markets |
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| Authors: | Bhar Ramaprasad Malliaris A |
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| Institution: | (1) Faculty of Business, School of Finance and Economics, University of Technology, Sydney, PO Box 123, Broadway, NSW, 2007, Australia;(2) Walter F. Mullady, Sr. Professor of Business Administration, Department of Economics, Loyola University of Chicago, 820 N. Michigan Avenue, Chicago, Illinois, 60611 |
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| Abstract: | In this paper we propose and test several hypotheses concerning time series properties of trading volume, price, short and long-term relationships between price and volume and the determinants of trading volume in forcign currency futures. The nearby contracts for British Pound, Canadian Dollar, Japanese Yen, German Mark and Swiss Franc are analyzed in three frequencies i.e. daily, weekly and monthly.We find supportive evidence for all the five currencies that the price volatility is a determinant of the trading volume changes. Furthermore, the volatility of the price process is a determinant of the unexpected component of the changes in trading volume. Also, there is a significant relationship between the volatility of price and the volatility of trading volume changes for three of the five currencies in the daily frequency and for one currency in the monthly frequency. |
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| Keywords: | Volume volatility currency |
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