Activity in futures: does underlying market size relate to futures trading volume?

Activity in futures: does underlying market size relate to futures trading volume? This study investigates the determinants of trading volume in the futures markets and focuses on underlying market characteristics as an explanation for futures trading volume. Four major futures contracts traded on the Sydney Futures Exchange are investigated: the stock price index (SPI); the 90-day bank accepted bill (BAB); the 3-year bond; and the 10-year bond. An important outcome of this study is an identification of the fundamental drivers of trading volume in the futures markets, which have largely gone undocumented in prior research. We find evidence that futures trading volume is related to underlying market characteristics: the size of the Australian superannuation fund investments in equities (for the SPI), short term treasury notes (for the BAB), non-government bonds on issue (for the 3-year contract) and government bonds on issue (for the 10-year contract). http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Activity in futures: does underlying market size relate to futures trading volume?

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Publisher
Springer US
Copyright
Copyright © 2009 by Springer Science+Business Media, LLC
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-009-0132-0
Publisher site
See Article on Publisher Site

Abstract

This study investigates the determinants of trading volume in the futures markets and focuses on underlying market characteristics as an explanation for futures trading volume. Four major futures contracts traded on the Sydney Futures Exchange are investigated: the stock price index (SPI); the 90-day bank accepted bill (BAB); the 3-year bond; and the 10-year bond. An important outcome of this study is an identification of the fundamental drivers of trading volume in the futures markets, which have largely gone undocumented in prior research. We find evidence that futures trading volume is related to underlying market characteristics: the size of the Australian superannuation fund investments in equities (for the SPI), short term treasury notes (for the BAB), non-government bonds on issue (for the 3-year contract) and government bonds on issue (for the 10-year contract).

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Jun 23, 2009

References

  • Market statistics and technical analysis: the role of volume
    Blume, L; Easley, D; O’hara, M
  • Exchange rate risk and the bid-ask spread: a seven country comparison
    Boothe, P
  • Information effects on the bid-ask spread
    Copeland, T; Galai, D
  • The determinants of bid-ask spreads in the foreign exchange futures market: a microstructure analysis
    Ding, D
  • Volume-volatility relationships for crude oil futures
    Foster, AJ
  • Futures prices and maturity effect
    Galloway, TM; Kolb, RW
  • An empirical examination of the relation between futures spreads volatility, volume, and open interest
    Girma, P; Mougoue, M
  • Large sample properties of generalized method of moments estimators
    Hansen, L

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