Determinants of trading volume in futures markets
The determinants of volume in metal futures markets are examined empirically by first developing a theoretical model. Under the assumption that the trading agents can be categorized into 2 groups, speculators and hedgers, it is shown that volume can be represented as a function of inter- and intrada...
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| Veröffentlicht in: | The journal of futures markets 1987-06, Vol.7 (3), p.233-244 |
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| container_title | The journal of futures markets |
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| creator | Martell, Terrence F. Wolf, Avner S. |
| description | The determinants of volume in metal futures markets are examined empirically by first developing a theoretical model. Under the assumption that the trading agents can be categorized into 2 groups, speculators and hedgers, it is shown that volume can be represented as a function of inter- and intraday price volatilities and an information set. Using data that cover the period January 1, 1976-December 1, 1982, the model is employed to test daily and monthly relationships between the volume of trade and the various empirical variables. The results show that, in both the daily and the monthly regression equations, the most important variables are the volatility measures, with interest rates, open interest, and inflation also recording expected results. The basic conclusion is that volume in general is a function of more than one variable. |
| doi_str_mv | 10.1002/fut.3990070302 |
| format | Article |
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Under the assumption that the trading agents can be categorized into 2 groups, speculators and hedgers, it is shown that volume can be represented as a function of inter- and intraday price volatilities and an information set. Using data that cover the period January 1, 1976-December 1, 1982, the model is employed to test daily and monthly relationships between the volume of trade and the various empirical variables. The results show that, in both the daily and the monthly regression equations, the most important variables are the volatility measures, with interest rates, open interest, and inflation also recording expected results. 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Fut. Mark</addtitle><date>1987-06</date><risdate>1987</risdate><volume>7</volume><issue>3</issue><spage>233</spage><epage>244</epage><pages>233-244</pages><issn>0270-7314</issn><eissn>1096-9934</eissn><coden>JFMADT</coden><abstract>The determinants of volume in metal futures markets are examined empirically by first developing a theoretical model. Under the assumption that the trading agents can be categorized into 2 groups, speculators and hedgers, it is shown that volume can be represented as a function of inter- and intraday price volatilities and an information set. Using data that cover the period January 1, 1976-December 1, 1982, the model is employed to test daily and monthly relationships between the volume of trade and the various empirical variables. The results show that, in both the daily and the monthly regression equations, the most important variables are the volatility measures, with interest rates, open interest, and inflation also recording expected results. 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| ispartof | The journal of futures markets, 1987-06, Vol.7 (3), p.233-244 |
| issn | 0270-7314 1096-9934 |
| language | eng |
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| source | Business Source Complete; Periodicals Index Online |
| subjects | Commodities Equilibrium Futures market Hedging Metals Prices Regression analysis Studies Trading Variables Volatility Volume |
| title | Determinants of trading volume in futures markets |
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