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。     

引入国债期货合约能否发挥现货市场稳定效应?——基于中国金融周期的研究视角

我国国债期货市场能否发挥稳定现货市场功能,金融周期风险是否会改变国债期货市场对现货市场波动的影响,是投资者实施风险管理和监管部门构建市场稳定机制的重要依据。本文通过信息传递机制和交易者行为两个维度探析国债期货市场发挥稳定功能的微观机理,分析金融周期风险对衍生工具稳定功能的影响,解析引入国债期货合约能否缓解金融周期波动对国债市场冲击,同时关注我国国债期货交易机制改进与现券波动关系。研究发现:(1)我国国债期货市场已实现抑制现货市场波动的功能,金融周期风险会引发现货价格波动,国债期货市场能够降低金融周期的波动冲击;(2)改善现货市场深度和套保交易是国债期货市场发挥稳定功能的微观路径,国债期货市场增进国债预期交易量流动性、减弱非预期交易量干扰,金融周期低波动区间套保交易稳定作用受到抑制;(3)国债期货投机交易和波动溢出效应助长现货市场波动,正负期现基差对国债波动影响具有非对称特征。     

Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?

Various macroeconomic announcements are known to influence asset price volatility. In addition to non-farm payrolls, we highlight the importance of Treasury auctions – a news event that has grown in importance due to ongoing Federal deficits. The occurrence of an auction, which increases supply in the underlying cash market, pushes futures prices lower and volatility higher. Conversely, a higher bid-to-cover ratio, indicates greater demand for Treasury securities, increases Treasury futures prices and lowers volatility. The response is consistent with market participants using futures to manage inventory risk. The results are consistent across a set of volatility estimates, and in an alternate conditional volatility framework.     

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.     

中国利率市场的价格发现——对国债现货、期货以及利率互换市场的研究

本文采用信息份额模型和基于向量自回归(VAR)模型的格兰杰因果检验,研究了国债现货、国债期货和利率互换三个市场之间的价格发现机制。信息份额模型表明,从整体来看利率互换相对于国债期货和国债现货都具有信息优势,而国债期货相对于国债现货具有信息优势。另外,国债期货的价格发现能力相对于另外两个市场都在随时间增强。格兰杰因果检验结果显示,利率互换在价格发现中单向引领国债期货以及国债现货,国债期货单向引领国债现货。所有结果一致表明, 利率互换和国债期货这两种利率衍生产品在引导中国利率市场价格发现中发挥了重要作用。     

Volatility and trading activity following changes in the size of futures contracts

This paper has two purposes. First, we examine the relationship between daily price volatility and trading activity one year before and after a change in contract size by examining the results of contract splits in the Australian share price index futures and the U.K. FTSE-100 futures contracts and a reverse contract split in the Australian Bank Bill Acceptance futures contract. Second, we evaluate the effect of the change in contract size on the use of the particular futures market. We find that after a contract size change, the change in total trading frequency has the power to explain the change in daily price volatility. Specifically, after a contract split, trading frequency increased, resulting in increased daily price volatility, and vice versa after a reverse contract split. Most of the average trade size variable has an immaterial impact on price volatility. However, decomposing the total trading frequency into four trade size classes, we find that the trading frequency for small and large trade size categories are highly significant in explaining changes in daily price volatility after the contract splits. Finally, we find the change in contract size for each futures market was successful because within three years following the change, the adjusted trading volume and open interest surpassed the levels prior to the change and have continued to increase thereafter.     

Price discovery in the round-the-clock U.S. Treasury market

We evaluate the efficacy of price discovery in the round-the-clock U.S. Treasury market. Using a comprehensive intraday database, we explore informational role of trades over the 24-hour day. We find that information asymmetry is generally highest in the preopen period and lowest in the postclose period. Information asymmetry in the overnight period is comparable to that in the regular trading period. However, on days with macroeconomic announcements, information asymmetry peaks shortly after the news release at 8:30. Moreover, information asymmetry is higher on Monday morning and higher immediately before than after the open of U.S. Treasury futures trading. Although volume is low after hours and trading cost is relatively high, overnight trading generates significant price discovery. Results suggest that overnight trading activity is an important part of the Treasury price discovery process.     

Samuelson Hypothesis & Indian Commodity Derivatives Market

Samuelson (1965) devised that futures price volatility increases as the futures contract approaches its expiration. The relation amid the volatility and time to maturity has significant inference for hedging strategies. Interestingly, so far the empirical evidence in favor of the Samuelson Hypothesis (maturity effect) is mixed in various markets. Considering no significant work to examine the relationship is so far carried out in commodity derivative markets of India, this paper ordeal the Samuelson Hypothesis on 8 commodities traded on Multi-Commodity Exchange (MCX), India. We have examined the issue by applying different regression techniques to test the hypothesis for 8 commodities (Aluminium, Nickel, Copper, Gold, Silver, Natural Gas, Crude Oil and Wheat) using inter-day data on MCX India. In order to test the Samuelson’s hypothesis, tests have been conducted using a series of GARCH, EGARCH and TGARCH models by including trading volume, open interest and time-to-maturity in the conditional variance equation. From our results, it is concluded that Samuelson’s hypothesis does not hold true for majority of commodity contracts considered. Our results also find that volatility series depend on the trading volume, compared to the time-to-maturity or open interest. As Samuelson hypothesis does not hold true for majority of commodity contracts, traders in Indian commodity derivative markets should not bias their decisions solely based on the time-to-maturity, but should also consider trading volume and open interest as they are an important determinant of price volatility. They should also consider the possibility of leverage effect while predicting future price volatilities, and the associated margin requirements.     

Price Discovery Between Informationally Linked Markets During Different Trading Phases

The dynamic nature of the price information transfer when stock and futures markets switch between different price trading phases is examined. This is undertaken by decomposing Australian stock indexes and share price index futures contract data into bear- and bull-market phases and analyzing the change in the power of the bidirectional information feedback between the futures market and small, medium, and large stocks. Results support the hypothesis that the nature of the price-discovery process varies with the trading phase. In particular, during the bull phase small stocks show a marked increase in price exogeneity and futures prices contain relatively less price-sensitive fundamental information. We argue that in bull phases, futures trading becomes increasingly associated with noninformation trading such as realizing paper profits, portfolio rebalancing, and increased noise trading.     

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

The arrival of public information in the U.S. Treasury market sets off a two-stage adjustment process for prices, trading volume, and bid-ask spreads. In a brief first stage, the release of a major macroeconomic announcement induces a sharp and nearly instantaneous price change with a reduction in trading volume, demonstrating that price reactions to public information do not require trading. The spread widens dramatically at announcement, evidently driven by inventory control concerns. In a prolonged second stage, trading volume surges, price volatility persists, and spreads remain moderately wide as investors trade to reconcile residual differences in their private views.     

Race to the center: competition for the Nikkei 225 futures trade

This paper examines the impact of changes in margin requirements on returns, transaction volume, and price volatility of the Nikkei 225 futures traded on the Osaka Securities Exchange (OSE) and the Singapore International Monetary Exchange (SIMEX). An increase in margin requirement on one exchange reduces its trading volume and shifts trade to the competing exchange. Both conditional price volatility and returns are not systematically affected by changes in margin requirements. The loss of OSE's market share of the Nikkei futures trade from 1990 to 1993 is partly due to the increased transactions costs (relative to SIMEX), including the margin requirement.     

When noise trading fades,volatility rises

We hypothesize and test an inverse relation between liquidity and price volatility derived from microstructure theory. Two important facets of liquidity trading are examined: volume and noisiness. As represented by the expected turnover rate (volume) and realized average commission cost per share (noisiness) of NYSE equity trading, both facets are found negatively associated with the ex post and ex ante return volatilities of the NYSE stock portfolios and the NYSE composite index futures. Furthermore, the inverse association between noisiness and volatility is amplified in times of market crisis. The negative noisiness–volatility relation is also supported by our analysis on the effects of trade size on price volatility. The overall results demonstrate that volatility increases as noise trading declines.     

Volume and Volatility in Foreign Currency Futures Markets

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.     

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.     

Did crisis alter trading of two major oil futures markets?

The paper analyzes how traders in two major oil futures markets: New York Mercantile Exchange (NYMEX) and Intercontinental Exchange, reacted to the 2008 financial crisis, particularly whether they shifted their trading pattern and whether the relative information role of the two markets changed. Using trade-by-trade data, the paper analyzes several trading characteristics including trading volume, trade size, volatility, bid–ask spread, and relative information share. On average, NYMEX is characterized by greater volume, trade size and slightly greater spread. Before the crisis, NYMEX leads the process of price discovery, and volatility and trade size are significant factors explaining this leadership. However, following the financial crisis of 2008, the leadership role of NYMEX declines and trade size and volatility are no longer significant factors. Contrary to results of most equity market research, bid–ask spread is not a significant factor in information share and causality tests indicate that causality runs from spread to information share before the crisis but the opposite holds during the crisis period.     

限制交易政策如何影响期现关系?——对股指期货价格发现功能的实证检验

本文利用2015年中国股市大幅下跌期间,对股指期货严格限制交易政策这一独特事件前后的高频数据,研究限制交易政策对股指期货与股票市场价格引导关系的影响。利用I-S模型和分位数回归方法的实证结果表明:限制交易政策实施前,股指期货对股票市场的价格影响更强,尤其表现在价格急剧下跌时期;限制交易政策显著增加了期货市场交易成本,从而降低了期货市场的信息份额,削弱了其对股票市场的价格影响,并且改变了期货价格对现货价格“助跌强于助涨”的影响模式,增强了股指期货在价格上涨时对股票市场的影响。研究结果一方面直接量化了期货交易成本变动对其价格发现功能的负面影响,另一方面也从价格引导关系的视角提供了股市危机时期股指期货限制交易政策监管效果的实证证据。     

Futures Commitments and Exchange Rate Volatility

It is commonly suggested that certain groups of futures traders, such as speculators and small traders, exacerbate cash market volatility. Empirical research on the subject has been conducted in context of the relationship between price volatility and futures volume or open interest and fails to satisfactorily resolve such an issue. This paper examines the relationship between exchange rate variability and futures trading activity in the context of disaggregated open interest. The data and techniques employed allow for more specific inferences regarding which group of traders contribute to exchange volatility. The results suggest that while 'typical' levels of futures commitments are not destabilizing, surges in the level of commitments of large speculators and small traders causes exchange rate volatility. The actual release of the commitment-of-traders data, however, has no impact on spot prices.     

Corporate governance and stock performance: The case of COVID-19 crisis

This paper analyzes the impact of COVID-19 on firm-level stock behaviors (including stock price volatility, trading volume and stock returns). Using US data, this paper examines whether confirmed cases (and deaths) of COVID-19 or COVID-19-associated online searches affect stock behaviors. The results show that our five COVID-19 proxies are all positively associated with stock price volatility and trading volume and negatively associated with stock returns. This paper further investigates the mitigating effect of corporate governance (viz., board and ownership structures) in this COVID-19 crisis. Overall, the results suggest that good corporate governance can mitigate the impact of COVID-19 on stock price volatility and trading volume but may not help to enhance stock returns. This paper also considers key policies used to tackle the COVID-19 pandemic and finds that government intervention plays an important role in stabilizing stock markets in this COVID-19 crisis.     

The volatility dynamics of spot and futures gold prices: Evidence from Russia

We examine the long memory property and structural break in the spot and futures gold volatility in Russia from 2008 through 2013. We find strong evidence of long memory in the volatility of both spot and futures gold series. The break dates are associated with the recent global financial crisis. Moreover, we investigate the volatility spillover effect between the Russian spot and futures gold markets using the corrected Dynamic Conditional Correlation model (cDCC). The findings show relatively high level of conditional correlation between spot and futures gold returns. This outcome decreases the portfolio diversification benefits for gold investors.     

The relationship between futures trading activity and exchange rate volatility,revisited

This paper examines the relationship between trading activity in currency futures and exchange rate volatility. In order to measure trading activity, the paper uses both volume and open interest to distinguish between speculators/day traders and hedgers. The study uses three different measures of volatility: (1) the extreme value estimator that measures intra-day volatility; (2) historical volatility; and (3) conditional volatility from the GARCH (1, 1) process. Main finding is that speculators and day traders destabilize the market for futures. Whether hedgers stabilize or destabilize the market is inconclusive. The results suggest that speculators’ demand for futures goes down in response to increased volatility. Meanwhile, the demand from hedgers shows mixed results, depending on the method used to measure volatility.