search query: @author Lasser, D. J. / total: 3
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| Author: | Dhillon, U. P. Lasser, D. J. Watanabe, T. |
| Title: | Volatility, information, and double versus walrasian auction pricing in US and Japanese futures markets |
| Journal: | Journal of Banking and Finance
1997 : JUN, VOL. 21:7, p. 1045-1061 |
| Index terms: | MARKET STRUCTURE INFORMATION FUTURE VOLATILITY |
| Language: | eng |
| Abstract: | This article presents empirical evidence on the nature of asset return volatility in response to different trading mechanism and information flows. The article examines a database that is comprised of a single asset traded on both the COMEX in the US and the TOCOM in Japan. Comex employs continuous trading throughout the sample period whereas TOCOM changed from Walrasian to continuous trading. This study provides evidence that the trading mechanism and information influence price volatility. Prices in double auction markets exhibit greater intraday volatility than prices generated in Walrasian auction markets; more information appears to be released in gold markets during US trading hours relative to Japan; exchange volume conveys private information within and across COMEX and TOCOM markets ... |
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