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| Tekijä: | Bhar, R. Malliaris, A. |
| Otsikko: | Volume and volatility in foreign currency futures markets |
| Lehti: | Review of Quantitative Finance and Accounting
1998 : MAY, VOL. 10:3, p. 285-302 |
| Asiasana: | VOLATILITY CURRENCY FUTURES MARKETS |
| Kieli: | eng |
| Tiivistelmä: | In this paper the authors propose and test several hypotheses concerning time series properties of trading volume in foreign 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. The authors find supportive evidence for all the five currencies that the price volatility is a determinant of the unexpected component of the changes in trading volume. |
SCIMA