Volatility, information, and double auction versus walrasian auction pricing in US and Japanese futures markets

Dhillon, Upinder S. and Lasser, Dennis J. and Watanabe, Taiji (1997) Volatility, information, and double auction versus walrasian auction pricing in US and Japanese futures markets. Journal of Banking and Finance , 21 (7). pp. 1045-1061. ISSN 0378-4266

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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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Published version deposited in accordance with the copyright policy of the publisher.
Faculty / Department / School: Historic - Faculty of Business - Department of Economics and Resource Management
Date Deposited: 13 Jun 2013 05:50
Last Modified: 03 Jul 2013 01:35
Uncontrolled Keywords: futures; stock market; market micro-structure; volatility
Fields of Research : 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150201 Finance
15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
14 Economics > 1401 Economic Theory > 140104 Microeconomic Theory
Socio-Economic Objective: E Expanding Knowledge > 97 Expanding Knowledge > 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
URI: http://eprints.usq.edu.au/id/eprint/22406

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