Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Volume and price relationships: Hypotheses and testing for agricultural futures

Volume and price relationships: Hypotheses and testing for agricultural futures A. G. Malliaris is the Walter F. Mullady Senior Professor of Business Administration at Loyola University of Chicago. Jorge L. Urrutia is a Professor of Finance at Loyola University of Chicago. The Journal of Futures Markets, Vol. 18, No. 1, 53–72 (1998) 1998 by John Wiley & Sons, Inc. CCC 0270-7314/98/010053-20 Malliaris and Urrutia ability. Key references in this direction of research are Carlton (1983, 1984) and Martell and Wolf (1987). Theoretical models of trading volume have been developed also by Karpoff (1986), Huffman (1987), and Pagano (1989). Researchers have emphasized the importance of the relationship between price and volume. Karpoff (1987) gives several reasons why the price–volume relationship is crucial in capital markets. He argues that the price–volume relationship can provide insight about the market structure, because information is more available for heavily traded securities than for thinly traded securities. Also, larger volumes make trade more competitive and lower the bid–ask spread. Trading volume also plays an important role in futures markets. Most economic reports published by the futures exchanges and regulatory agencies use volume data to measure the growth or decline of futures contracts. Volume data are also used to measure shifts in the composition of http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Futures Markets Wiley

Volume and price relationships: Hypotheses and testing for agricultural futures

Download PDF
20 pages

Loading next page...
 
/lp/wiley/volume-and-price-relationships-hypotheses-and-testing-for-agricultural-A9Rem1dJsj

References (31)

Publisher
Wiley
Copyright
Copyright © 1998 John Wiley & Sons, Inc.
ISSN
0270-7314
eISSN
1096-9934
DOI
10.1002/(SICI)1096-9934(199802)18:1<53::AID-FUT3>3.0.CO;2-A
Publisher site
See Article on Publisher Site

Abstract

A. G. Malliaris is the Walter F. Mullady Senior Professor of Business Administration at Loyola University of Chicago. Jorge L. Urrutia is a Professor of Finance at Loyola University of Chicago. The Journal of Futures Markets, Vol. 18, No. 1, 53–72 (1998) 1998 by John Wiley & Sons, Inc. CCC 0270-7314/98/010053-20 Malliaris and Urrutia ability. Key references in this direction of research are Carlton (1983, 1984) and Martell and Wolf (1987). Theoretical models of trading volume have been developed also by Karpoff (1986), Huffman (1987), and Pagano (1989). Researchers have emphasized the importance of the relationship between price and volume. Karpoff (1987) gives several reasons why the price–volume relationship is crucial in capital markets. He argues that the price–volume relationship can provide insight about the market structure, because information is more available for heavily traded securities than for thinly traded securities. Also, larger volumes make trade more competitive and lower the bid–ask spread. Trading volume also plays an important role in futures markets. Most economic reports published by the futures exchanges and regulatory agencies use volume data to measure the growth or decline of futures contracts. Volume data are also used to measure shifts in the composition of

Journal

The Journal of Futures Markets – Wiley

Published: Feb 1, 1998

There are no references for this article.