Volatility,information, and double versus walrasian auction pricing in US and Japanese futures markets |
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| Affiliation: | 1. Department of Earth Sciences, College of Science, Shiraz University, 71454 Shiraz, Iran;2. Global Centre for Environmental Remediation (GCER), ATC building, The University of Newcastle, Callaghan, NSW, Australia;3. Khuzestan Environmental Protection Office, Khuzestan, Iran;1. School of Acccounting and Finance, University of Waterloo, 200 University Avenue West, Waterloo, ON, Canada N2L 3G1;2. School of Business, Hong Kong Baptist University, 34 Renfrew Road, Kowloon Tong, Kowloon, Hong Kong;3. College of Business, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon, Hong Kong |
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| Abstract: | This study empirically examines volatility in US and Japanese commodity futures markets. The US futures market, COMEX, is double auction with continuous trading, whereas the Japanese futures market, TOCOM, was Walrasian with discrete trading until April 1991. We find intraday volatility for gold futures contracts to be significantly higher on COMEX than TOCOM throughout the sample period and is attributable to differences in information flows and market micro-structures. Evidence is also provided that exchange volume conveys information both within and across markets, which is consistent with the French and Roll, 1986 (French, K.R., Roll, R., 1986. Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics 17, 5–26) private-information based rational trading model. Finally, daily variance and autocorrelation estimates within COMEX are consistent with the extant literature on equity markets. |
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