Variations in Trading Volume,Return Volatility,and Trading Costs: Evidence on Recent Price Formation Models

Patterns in stock market trading volume, trading costs, and return volatility are examined using New York Stock Exchange data from 1988. Intraday test results indicate that, for actively traded firms trading volume, adverse selection costs, and return volatility are higher in the first half-hour of the day. This evidence is inconsistent with the Admati and Pfleiderer (1988) model which predicts that trading costs are low when volume and return volatility are high. Interday test results show that, for actively traded firms, trading volume is low and adverse selection costs are high on Monday, which is consistent with the predictions of the Foster and Viswanathan (1990) model.     

Return and Volatility Spillovers Between Large and Small Stocks in the UK

Abstract:  This paper investigates return and volatility spillover effects between the FTSE 100, FTSE 250 and FTSE Small Cap equity indices using the multivariate GARCH framework. We find that return and volatility transmission mechanisms between large and small stocks in the UK are asymmetric. In particular, there are significant spillover effects in both returns and volatility from the portfolios of larger stocks to the portfolios of smaller stocks. For volatility, there is also evidence of limited feedback from the portfolios of smaller stocks to the portfolios of larger stocks, although sub-period analysis suggests that this is to some extent period-specific. Simulation evidence shows that non-synchronous trading potentially explains some, but not all, of the spillover effects in returns, and that it explains none of the spillover effects in volatility. These results are consistent with a market in which information is first incorporated into the prices of large stocks before being impounded into the prices of small stocks.     

探析中美贸易逆差的原因及影响

近年来,随着中美经贸关系的日益紧密,分析不断扩大的美中贸易逆差具有十分重要的意义。本文主要研究了美中贸易逆差的原因和影响,结构安排如下：首先交代了研究背景,通过一些数据介绍了美中贸易逆差的现状,批出研究此问题的必要性。第二部分,分别采用国际收支平衡原理和要素禀赋定理两种方法进行分析,得出美国的国内政策是造成美国经济项目赤字的主要原因的结论,同进批出了一些流行说法的纰漏之处。可以看到,在全球储蓄结构巨大失衡情况下,单单通过削减美国财政赤字或通过人民币升值,都不有解决巨额美中贸易逆差。这一问题的解决需要中美双方的政策协调。     

Information, Trading Demand, and Futures Price Volatility

We examine the relation between futures price volatility and trading demand by type of trader in the Standard & Poor's (S&P) 500-stock index futures market. We find that volatility covaries negatively with signed speculative demand shocks but is positively related to signed hedging demand shocks. No significant relation between volatility and demand shocks for small traders is found. Our results suggest that changes in positions of large hedgers destabilize the market, whereas changes in positions of large speculators stabilize volatility. Consistent with models with asymmetrically informed traders, we find that large speculators are likely to possess superior forecasting ability, large hedgers behave like positive feedback traders, and small traders are liquidity traders.     

The Impact of Information Diffusion on Comparisons among Various Trading Mechanisms

The information environment and investor order strategy are both important determinants when comparing the market performance of trading mechanisms. However, less is known about what happens when trading mechanisms are compared. In this paper, we link the information environment, trading mechanisms, investor order strategy and market performance to form a model of the securities market. The primary goal of this study is to examine the impact of various call markets in an agency market on liquidity, price volatility and market efficiency under various information regimes. The results indicate that an optimal transaction frequency appears at the trade-off of liquidity, volatility and market efficiency.     

探析中美贸易逆差的原因及影响

近年来,随着中美经贸关系的日益紧密,分析不断扩大的美中贸易逆差具有十分重要的意义.本文主要研究了美中贸易逆差的原因和影响,结构安排如下:首先交代了研究背景,通过一些数据介绍了美中贸易逆差的现状,指出研究此问题的必要性.第二部分,分别采用国际收支平衡原理和要素禀赋定理两种方法进行分析,得出美国的国内政策是造成美国经常项目赤字的主要原因的结论,同时指出了一些流行说法的纰漏之处.可以看到,在全球储蓄结构巨大失衡的情况下,单单通过削减美国财政赤字或通过人民币升值,都不能解决巨额美中贸易逆差.这一问题的解决需要中美双方的政策协调.     

Futures Trading Activity and Commodity Cash Price Volatility

Abstract:   This paper examines the lead‐lag relationship between futures trading activity (volume and open interest) and cash price volatility for major agricultural commodities. Granger causality tests and generalized forecast error variance decompositions show that an unexpected increase in futures trading volume unidirectionally causes an increase in cash price volatility for most commodities. Likewise, there is a weak causal feedback between open interest and cash price volatility. These findings are generally consistent with the destabilizing effect of futures trading on agricultural commodity markets.     

Dynamic Volatility Trading Strategies in the Currency Option Market

The conditional volatility of foreign exchange rates can be predicted using GARCH models or implied volatility extracted from currency options. This paper investigates whether these predictions are economically meaningful in trading strategies that are designed only to trade volatility risk. First, this article provides new evidence on the issue of information content of implied volatility and GARCH volatility in forecasting future variance. In an artificial world without transaction costs both delta-neutral and straddle trading stratgies lead to significant positive profits, regardless of which volatility prediction method is used. Specifically, the agent using the Implied Stochastic Volatility Regression method (ISVR) earns larger profits than the agent using the GARCH method. Second, it suggests that the currency options market is informationally efficient. After accounting for transaction costs, which are assumed to equal one percent of option prices, observed profits are not significantly differentfrom zero in most trading strategies. Finally, these strategies offered returns have higher Sharpe ratio and lower correlation with several major asset classes. Consequently, hedge funds and institutional investors who are seeking alternative “marketneutral” investment methods can use volatility trading to improvethe risk-return profile of their portfolio through diversification. This revised version was published online in November 2006 with corrections to the Cover Date.     

期货市场的交易量与价格波动

本文检验了美国期货市场WTI原油、S＆P500指数和10年期国债品种的日内、日间价格波动与日内交易量、隔日交易量之间的关系,发现预期的日内和隔日交易量都有平抑期货市场价格波动的作用,非预期的隔日交易量与期货价格波动之间有正相关关系,非预期的目内交易量对价格波动的影响不显著。从信息对称性的角度分析,预期的交易量中含有更多信息,能抑制期货价格的偏离;非预期的交易量主要由信息反馈者提供,他们往往对期货价格的变动做出过度反应,从而加剧价格波动。     

交易量的信息含量:台湾期权市场的证据

本文应用台湾股指期权市场详细的交易数据,对台指期权交易量的信息含量进行了全面系统的实证检验。我们从全市场、不同投资者以及不同在值程度期权分类角度分别构建了多个五分钟交易量指标,并检验它们对未来台指走势的预测能力。我们发现,全市场的期权交易量指标基本不具备未来指数走势预测能力,但境内机构投资者和境外机构投资者交易量中包含显著的预测信息,价外期权的信息明显地优于价内期权和平价期权。     

Trading Volume, Information Asymmetry, and Timing Information

This paper investigates trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases inversely to information asymmetry prior to scheduled announcements, while the opposite relation holds for volume after the announcement. In contrast, trading volume before unscheduled announcements increases dramatically and shows little relation to proxies for information asymmetry. I investigate the behavior of market makers and find that they act appropriately by increasing price sensitivity before all announcements, implying that they extract timing information from their order books.     

VaR方法在房地产收益波动性度量中的应用

本文探讨了VaR方法在房地产收益波动性度量中的应用,并对上海二手房指数时间序列的收益率风险进行了实证研究,结果表明此方法对于指数收益率风险的度量具有较强的适用性。     

The Effect of SEC-Ordered Suspensions on Returns, Volatility, and Trading Volume

This study evaluates the effect of SEC-ordered suspensions on securities' returns, volatility, and trading volume during 1963–1987. It is found that there is a permanent devaluation of these securities during the suspension. This result, however, is sensitive to the announced reason for the suspension. Both the variance and the trading volume are found to be substantially higher than normal in the presuspension period. This trend continues in the immediate postsuspension period. The variance and volume levels return to more normal levels only at a much later date. We conclude that trading suspensions are not associated with the immediate elimination of unusual market activity.     

Causal and Dynamic Relationships among Stock Returns,Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia

This paper examines the causal and dynamic relationships among stock returns, return volatility and trading volume for five emerging markets in South-East Asia—Indonesia, Malaysia, Philippines, Singapore and Thailand. We find strong evidence of asymmetry in the relationship between the stock returns and trading volume; returns are important in predicting their future dynamics as well as those of the trading volume, but trading volume has a very limited impact on the future dynamics of stock returns. However, the trading volume of some markets seems to contain information that is useful in predicting future dynamics of return volatility.     

Information, Trading, and Volatility: Evidence from Weather-Sensitive Markets

We find that trading‐ versus nontrading‐period variance ratios in weather‐sensitive markets are lower than those in the equity market and higher than those in the currency market. The variance ratios are also substantially lower during periods of the year when prices are most sensitive to the weather. Moreover, the comovement of returns and volatilities for related commodities is stronger during the weather‐sensitive season, largely due to stronger comovement during nontrading periods. These results are consistent with a strong link between prices and public information flow and cannot be explained by pricing errors or changes in trading activity.     

基于波动效应与价格发现的期指仿真交易研究

沪深300股指期货仿真交易的推出,对我国现货市场的影响如何以及这种影响是否有利于现货效率的改进。首次采用修正的GARCH模型和向量误差修正模型（VEC）将股指期货推出后现货市场波动性的变化和股指期货与现货市场的价格发现功能结合起来进行对比研究。结果表明,期指仿真交易的推出对于现货市场效率的改进确实存在正面的影响。其引入在短期内加大了现货市场的波动,但这一波动正是市场信息流动加速的反映,因而提高了市场信息的传递效率。同时期货价格领先于现货价格,存在由期货市场到现货市场长期的单向因果关系,说明期货价格具有引导现货价格向均衡方向调整的功能,从而在经验上支持了股指期货市场的开放政策。     

石油市场与黄金市场收益率波动溢出效应研究

在总结国内外相关研究的基础上,基于2002年12月2日到2010年9月30日的日数据,建立相应的ARCH族模型,并进行Granger因果关系检验,本文对石油市场和黄金市场收益的波动性、波动的非对称性及其波动溢出效应进行实证分析。结果表明:两市均具有显著的方差时变性及新信息对波动冲击的持续性;GARCH(1,1)模型能够很好地消除其ARCH效应;两市均存在明显的非对称性,即石油市场中利空消息引起的波动比同等利好消息引起的波动要大,而黄金市场相反;两市只存在从石油市场到黄金市场的单向波动溢出效应。研究结果对该领域投资者的相关投资及决策人的决策制定具有重要的参考价值。     

Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading

Abstract:  This study examines trading activities before and after the transfer of the FTSE 100 index futures contract from open outcry to electronic trading. Daily order imbalance exhibits strong serial persistence in the electronic limit order market, but not in open-outcry trading. Both excess buying and selling reduce liquidity. In the electronic venue, prior market movements barely affect investors' buying or selling decisions. Excess buy orders do not generate any price impact, but sell orders do. Positive imbalances are more strongly autocorrelated than negative imbalances. No trading elements, such as order imbalance, volume, or open interest, are associated with volatility. Moreover, excess buying decreases volatility. Such evidence suggests that the development and growth of electronic trading has changed the dynamics of trading activities in many important ways.     

The Effect of Futures Market Volume on Spot Market Volatility

There has been considerable interest, both academic and regulatory, in the hypothesis that the higher is the volume in the futures market, the greater is the destabilizing effect on the stock market. We show that conventional approaches, such as adding exogenous variables to GARCH models, may lead to false inferences in tests of this question. Using a stochastic volatility model, we show that, contrary to regulatory concern and the results of other papers, contemporaneous informationless futures market trading has no significant effect on spot market volatility.     

The Impact of Information Release on Stock Price Volatility and Trading Volume: The Rights Offering Case

This paper examines whether information released via rights offering announcements induces changes in price volatility and trading volume of underlying stock. The results of this paper provide support for the release of new information via offering announcements and evidence of its effects on price volatility and volume of underlying stock. Specifically, utilization of the announced information by investors is evidenced by greater trading volume following the announcement date than during the pre-announcement period. We interpret this result to mean that informedness dominates consensus. However, stock price volatility decreased from the pre-announcement period to the post-expiration period of rights offerings.