haku: @all futures / yhteensä: 1003
viite: 17 / 1003
| Tekijä: | Puri, T.N. Philippatos, G.C. |
| Otsikko: | Asymmetric volume-return relation and concentrated trading in LIFFE futures |
| Lehti: | European Financial Management
2008 : JUN, VOL. 14:3, p. 528-563 |
| Asiasana: | futures markets commodity markets derivative securities stock exchanges trading investment banking interest rates |
| Kieli: | eng |
| Tiivistelmä: | This study shows that intraday volume and return on the London International Financial Futures and Options Exchange (LIFFE) interest rate and currency futures exhibit an asymmetric (here as: asymm.) volume-return relationship characterized by significantly larger volume associated with negative returns than with non-negative returns. In addition, the asymm. relationship in LIFFE futures is also found to be dynamic as the direction of asymmetry can reverse during the day. Based on this study's results, the costly short sale hypothesis is rejected. An alternative explanation of the asymm. relation is presented based on recent information models taking into consideration asymmetrically-informed traders,..., quality and quantity of the information signal etc. |
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